Writing
$$
\binom{p^mn}{p^m}
=\frac{p^mn}{p^m}\times\frac{p^mn-1}{p^m-1}\times\cdots\times\frac{p^m(n-1)+1}1
$$
the factors $p$ in all individual fractions cancel out, so that none are left either in numerator or denominator. The product of all those rational numbers is of course an integer, that $p$ does not divide.
In fact this is just a very special case of Lucas' theorem, which for a binomial coefficient with lower index a power of$~p$ says that $\binom{p^mn}{p^m}\equiv n\pmod p$ for any $n$. Specialising the combinatorial proof at the link gives the following. Partition a set $S$ of size $p^mn$ greedily into a disjoint union of parts each of size some power of$~p$, taken as large as possible. Now let the cyclic group of order the largest $p$-power present act on $S$, by having its generator rotate each of the parts one unit forward. This acts on subsets of $S$ as well. Counting the number of $p^m$-element subsets modulo$~p$, we can ignore all those whose orbit has size divisible by$~p$; given the order of the group acting, these are all subsets, except those completely invariant under the action. But the smallest parts in our partition are of size $p^m$, and only the $p^n$-subsets precisely equal to one of those parts will be invariant under the action. There are $n\bmod p$ such parts, which gives the stated congruence modulo$~p$.