I've been stuck on this one for awhile, and I thought that if I did a contradiction: if $\gcd(m,n) > 1$ then for all integers $x,y$, $ax + ny \neq 1$. I could simply prove it wrong by giving an example. But I've got a feeling that I'm missing something that makes this not work, But I don't know what else to do.
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As the comments noted, the contradiction assumptions in the original question are not correct. The correct assumption (and some hints of how to proceed) follow:
Suppose that $\gcd(m,n)=d>1$ and suppose that there exist integers $x$ and $y$ so that $mx+ny=1$. Since $d$ divides both $m$ and $n$ (since it is the greatest common divisor of them), $d$ divides the LHS. So $d$ divides the RHS. Now, can you find a contradiction?

Michael Burr
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Ahh I see! since the only number which divides 1 is 1, no such d can exist! Thank you! – AY99 Jan 16 '18 at 04:37
if I did a contradiction
But what you wrote next is the wrong premise for a proof by contradiction. Instead, you'd start with something like "suppose $\gcd(m,n) \ge 2$ and $mx+ny=1$ then...". – dxiv Jan 16 '18 at 03:53