You’ve badly misunderstood what he wrote. I’ll expand his proof, emphasizing where it differs from your understanding of it.
We start with the countably infinite set $A$. Since it’s countably infinite, there is a bijection $g:\Bbb Z^+\to A$. For each $n\in\Bbb Z^+$ let $x_n=g(n)$; then $A=\{x_n:n\in\Bbb Z^+\}$. These are the elements $x_n$ of Rudin’s proof; $\{x_n:n\in\Bbb Z^+\}$ is called an enumeration of $A$. The elements of $A$ can be anything; in particular, they need not be numbers of any kind. But they are now numbered, or indexed, by the positive integers, and we can compare those indices.
We also have the infinite set $E\subseteq A$. Imagine going through the listing $\langle x_1,x_2,\dots\rangle$ of $A$ one element at a time; eventually you must reach an element of $E$, since $E\ne\varnothing$. Let $I_1=\{n\in\Bbb Z^+:x_n\in E\}$. $I_1$ is a set of positive integers, so it has a smallest member; call that smallest member $n_1$. Now let $I_2=I_1\setminus\{n_1\}$, all of $I_1$ except the smallest member $n_1$. $I_2$ is another set of positive integers, so it also has a smallest element; call that element $n_2$.
In general, suppose that you’ve chosen $n_1,\dots,n_{k-1}$ so that $x_{n_1},\dots,x_{n_{k-1}}\in E$. Let $I_k=I_1\setminus\{n_1,\dots,n_{k-1}\}$. $E$ is infinite, so $E\setminus\{x_{n_1},\dots,x_{n_{k-1}}\}\ne\varnothing$, and therefore $I_k\ne\varnothing$. Thus, we may let $n_k$ be the smallest member of $I_k$ and so continue constructing the sequence $\langle n_1,n_2,n_3,\dots\rangle$.
All we’re really doing here is going through $A$ in the order $x_1,x_2,x_3,\dots$ until we come to the first element of $E$; that element is $x_{n_1}$ for some positive integer $n_1$. Then we continue through $A$ until we come to another element of $E$; that element is $x_{n_2}$ for some positive integer $n_2>n_1$. At each stage we’ve found only finitely many members of $E$, and $E$ is infinite, so we can keep going. It’s intuitively clear that this procedure cannot miss any elements of $E$, because at each stage we take the first one in the listing that we haven’t already taken.
Thus, at the end of all this the map $f:\Bbb Z^+\to E:k\mapsto x_{n_k}$ is a bijection between $\Bbb Z^+$ and $E$, so $E$ is countably infinite.