We have:
\sum_{d|n} \frac{n}{d}\tau(d) = \sum_{d | n} d \tau(n/d)
There is a bijective correspondence between divisors of n/d and multiples of d that divide n. Thus \tau(n/d) equals the number of integers k such that d | k and k | n. Now \sigma(d) equals the sum of all divisors of d so on the left-hand side we have \tau(n/d) terms of d which shows the equality. To establish this through a somewhat more formal argument define:
S = \{(d,k) \,:\, d |k, k | n\}
For a finite subset T of \mathbb{Z}^2 define:
w(T) = \sum_{(d,k) \in T} d
This has the nice property that if A,B \subseteq \mathbb{Z}^2, then,
w(A \cup B) = w(A) + w(B) - w(A \cap B)
We wish to show that both our sides of the equality equal w(S). To do this we decompose S in two ways. First define
S_d = \{(d,k) \,:\, d|k, k |n\}
Then |S_d|=\tau(n/d) so w(S_d) = d\tau(n/d). We can then show:
w(S) = \sum_{d|n} w(S_d) = \sum_{d|n} d\tau(n/d)
This deal with the right-hand side. On the other hand let
T_k = \{(d,k) \,:\, d|k, k |n\}
Then w(T_k) = \sum_{d|k} d = \sigma(k), which shows:
w(S) = \sum_{d|n} w(T_d) = \sum_{d|n} \sigma(d)