We'll prove it for non-zero $\alpha$ and $\beta$ (the claim is straightforward otherwise).
We resolve $\beta$ into components $\beta^{\mathrm{para}}$ parallel to $\alpha$ and $\beta^{\mathrm{perp}}$ orthogonal to $\alpha$ (see the vector projection page on Wikipedia for details). This is depicted below:

Then
\begin{align*}
||\alpha+\beta|| &= ||\alpha+\beta^{\mathrm{para}}+\beta^{\mathrm{perp}}|| \\
&= \sqrt{||\alpha+\beta^{\mathrm{para}}||^2+||\beta^{\mathrm{perp}}||^2}
\end{align*}
by Pythagoras' Theorem, since $\alpha+\beta^{\mathrm{para}}$ and $\beta^{\mathrm{perp}}$ are orthogonal. Similarly
\begin{align*}
||\alpha-\beta|| &= ||\alpha-\beta^{\mathrm{para}}-\beta^{\mathrm{perp}}|| \\
&= \sqrt{||\alpha-\beta^{\mathrm{para}}||^2+||\beta^{\mathrm{perp}}||^2}.
\end{align*}
This is depicted below:

Hence $||\alpha+\beta||=||\alpha-\beta||$ if and only if $$||\alpha+\beta^{\mathrm{para}}||=||\alpha-\beta^{\mathrm{para}}||$$
which happens if and only if $\beta^{\mathrm{para}}$ is the zero vector (since $\alpha$ is non-zero). This happens if and only if $\alpha$ and $\beta$ are orthogonal.
$n\times 1$
. (But I think the more usual notation for vectors is $\mathbb R^n$.) – Martin Sleziak Apr 28 '13 at 15:23