In non-relativistic mechanics, we learn that momentum is given by ##p = mv##, but in relativity it comes out that the relationship is actually $$E^2 = (pc)^2 + (mc^2)^2$$ where ##c## is the speed of light and ##E## is the energy. For a photon, ##m = 0##, which gives us $$E = pc$$ And we know that photons have energy, so they must necessarily have momentum.
Additionally, as you would learn in introductory quantum mechanics, the de Broglie relationships state that the momentum of a photon is given by $$p = \frac{h}{\lambda}$$ where ##\lambda## is the photon's wavelength and ##h## is called the Plank constant. (This relationship actually turns out to be true for all particles, but that's another story.)
Note that I'm simply stating facts here, I haven't actually explained anything properly. There's a lot of physics that really contextualizes these relationships, but the basic point is that the notion of momentum just being the product of mass and velocity isn't really satisfactory.