I would guess that polynomials are dense in space of continuous functions? (This wasn't covered in book or notes however.)
Yes, they are. This is the Stone-Weierstrass theorem. But if you haven't covered that yet, then don't worry about it - you can handle it using Taylor series.
I hadn't thought about Taylor series being a polynomial.
Each partial sum of a Taylor series has only finitely many terms, and is therefore a polynomial! And the sum of the series is the limit of the sequence of partial sums.
So Taylor series that converges to exp^t would be an example to use.
Taylor Expansion of exp^t is 1+t+...+t^n/n!+...
I could use p(t)=1+t+...+t^n/n!.
Right, although I would call it [itex]p_n(t)[/itex] since you're building a sequence.
And guess that it converges to p=Taylor expansion.
[tex]\lim_{n \rightarrow \infty} p_n(t) = p(t) = e^t[/tex]
By the way, you might want to call the limit something other than [itex]p(t)[/itex] since the notation suggests that it's a polynomial, and the whole point is that you don't want it to be a polynomial. But that's just a nitpick.
Need to show that inf[p(t)-p]-->0.
Don't you mean sup, not inf? And writing it more carefully, it would be
[tex]\sup_{t \in [0,1]} [p_n(t) - p(t)] \rightarrow 0[/tex]
as [itex]n \rightarrow \infty[/itex]
i.e. you need to establish that the convergence is uniform. Do you know any theorems about the uniformity of convergence of Taylor series (or, more generally, power series)?
Then since p is not an element of P[0,1], the space is not complete.
Correct.
Question: where do Cauchy sequences come into this proof?
Good question. They haven't appeared explicitly yet, but having established that [itex]p_n \rightarrow p[/itex] uniformly in the larger space of continuous functions, you immediately know that the sequence [itex]p_n[/itex] is uniformly Cauchy. (If you haven't covered this fact already, you should prove it, but it's an easy proof.)