By parts it's u=x, dv=xexp{...}dx
Of course if you do not know a priori that
[tex]\int_{-\infty}^{\infty} e^{-\frac{x^2}{2\sigma^2}} = \sqrt{2 \pi \sigma^2}[/tex],
this complicates things, as you won't be able to do the integral by parts either. Is this for a QM course? In this case, it is probably assumed that you know the result of the above integral. If you don't and want to know how to do it, here it is roughly. It's a beautiful and ingenious trick, watch. If I remember correctly, it goes like...
[tex]\int_{-\infty}^{+\infty} e^{-b^2 x^2}dx=\sqrt{\left( \int_{-\infty}^{+\infty} e^{-b^2 x^2}dx \right)^2} = \sqrt{\left( \int_{-\infty}^{+\infty} e^{-b^2 x^2}dx \right)\left( \int_{-\infty}^{+\infty} e^{-b^2 y^2}dy \right)}=\sqrt{ \int_{-\infty}^{+\infty}\int_{-\infty}^{+\infty} e^{-b^2( x^2+y^2)}dx dy }[/tex]
Now switch to polar coordinates: r²=x²+y², [itex]dxdy=rdrd\theta[/itex] r going from 0 to infinity, theta going from 0 to 2pi [in order to cover the whole R² plane]:
[tex]\int_{-\infty}^{+\infty} e^{-b^2 x^2}dx = \sqrt{\int_{0}^{+\infty}\int_{0}^{+2\pi} re^{-b^2( r^2)}dr d\theta }=\sqrt{2\pi\int_{0}^{+\infty}re^{-b^2( r^2)}dr}[/tex]
Set u=b²r² ==> du=2rb²dr ==>rdr=du/2b²:
[tex]\int_{-\infty}^{+\infty} e^{-b^2 x^2}dx=\sqrt{\frac{\pi}{b^2}\int_{0}^{+\infty}e^{-u}du} = \sqrt{\frac{\pi}{b^2}\left[-e^{-u}\right]_0^{+\infty}}= \sqrt{\frac{\pi}{b^2}\left[0-(-1)\right]} = \sqrt{\frac{\pi}{b^2}}[/tex]
Phew that was longer than I tought it would be!