You know that $m,n$ are relatively prime. So there is no prime that divides them both. Notice that $p$ divides the right side, $pn^2$, so it must divide the left side, $m^2$.
But because $p$ divides $m^2= m\cdot m$, and $p$ is prime, $p$ must divide either $m$ or $m$....so it divides $m$! Then we can write $m= kp$ for some $k$, i.e. $m$ is a multiple of $p$. But then
$$
\begin{split}
m^2&= pn^2 \\
(kp)^2&= pn^2 \\
k^2p^2&= pn^2 \\
k^2p&= n^2
\end{split}
$$
But we can apply the same logic as above. Notice that $p$ divides the left side, $k^2p$, so it divides the right. Then $p$ divides $n^2= n \cdot n$ so that $p$ must divide $n$. But then $p$ divides both $m,n$, so that they share a common prime factor, which is not possible because you assumed that you reduced properly so that $m$ and $n$ share no common factor! A contradiction. Therefore, the square root of any prime cannot be rational.