Consider the set $S = \{au + bv: a,b \in \mathbb Z \}$. $S$ is a set of integers so it has a smallest positive member - call this $k$. So
$\nexists \space n \in S, 0 < n < k$
We know that $GCF(u,v)|u$ and $GCF(u,v)|v$, so $GCF(u,v)$ is a factor of all members of S. In particular $GCF(u,v)|k$.
If we can also show thet $k|GCF(u,v)$ then we must have $k=GCF(u,v)$. so $GCF(u,v) \in S$.
Note that if $m$ and $n$ are in $S$ then any linear combination of $m$ and $n$ i.e. $am + bn; a,b \in \mathbb Z$ is also in $S$.
Suppose $\exists n \in S$ with $n$ not a multiple of $k$. Then we can find $p$ and $r$ such that $n=pk+r$ with $0\lt r \lt k$. But then $r=n-pk$ is a linear combination of $n$ and $k$ and so $r$ is a member of $S$. But this contradicts the definition of $k$ as the smallest positive member of $S$. Therefore all members of $S$ are multiples of $k$.
How does this help you to show that $k|GCF(u,v)$ ?