There question is from Folland Real Analysis Chapter 7 Exercise 12. Let $X=\mathbb{R}\times\mathbb{R}_{d}$,where $\mathbb{R}_{d}$ denotes $\mathbb{R}$ with the discrete topology. If $f$ is a function on $X$, let $f^{y}=f(x,y)$; and if $E\subset X$, let $E^{y}=\{x:(x,y)\in E\}$.
(b) Define a positive functional on $C_{c}(X)$ by $I(f)=\sum_{y\in R}\int f(x,y)dx$ and let $\mu$ be the associated Radon Measure on $X$. Then $\mu(E)=\infty$ for any $E$ such that $E^{y}\neq\emptyset$ for uncountable any $y$.
I think $E$ is not compact here, but I do not know it is open or closed. Or this is not important. Also, I do not know how to use $I(f)=\sum_{y\in R}\int f(x,y)dx=\int fd\mu$. By the way, $\int f(x,y)dx$ means Lebesgue Measure?