Here's a proof that, like the others posted so far, works over all fields $k$. It is shown in another answer why $(m,n) = 1$ is a necessary condition for irreducibility of $x^n - y^m$ in $k[x,y]$. We now show sufficiency: if $(m,n) = 1$ then $x^n - y^m$ is irreducible in $k[x,y]$.
We will look at possible factorizations of $x^n-y^m$ in $k[x,y] = k[y][x]$ (polynomials in $x$ with coefficients that are polynomials in $y$). Write such a factorization as $f(x)g(x)$ where the factors are in $k[y][x]$. Let $f(x)$ have constant term $c\in k[y]$.
Since $\deg_x f + \deg_x g = n$, $\deg_x f$ and $\deg_x g$ are at most $n$ and at least one of them is positive. Without loss of generality, say $\deg_x f > 0$. The roots of $f(x)$ in a splitting field of $x^n - y^m$ over $k(y)$ are $n$-th roots of $y^m$, and $c$ is the product of those roots, so
$$c^n=y^{m\deg_x f}.$$
This is an equation in $k[y]$. Computing $y$-degrees, $n\deg_y c = m\deg_x f$, so $n\mid m\deg_x f$. Since $(m,n)=1$, we get $n\mid\deg_x f$. From the bound $\deg_f x \leq n$, we get $\deg_xf=n$. Therefore $\deg_x g = 0$, meaning $g(x)$ is constant as a polynomial in $x$: $g(x) \in k[y]$. So $g(x) = a(y)$ where the coefficients of $a(y)$ are in $k$. Comparing leading coefficients in $x$ on both sides of the equation $x^n - y^m = f(x)a(y)$, we see that $a(y)$ is invertible in $k[y]$, so $a(y) \in k^\times$.
We have shown that in a factorization of $x^n - y^m$ in $k[x,y]$, one of the two factors is in $k^\times$, so $x^n - y^m$ is irreducible in $k[x,y]$.