While you can do this easily by checking the conditions for a subgroup, there is a somewhat easier approach using some general facts. The set of permutations of$~G$ (that is bijections $G\to G$) is a group under function composition (this is true for any set), call it $P(G)$. Define a map $\def\ad{\operatorname{ad}}\ad:G\to P(G)$ by $\ad(g)=(h\in G\mapsto ghg^{-1})$. To see that actually $\ad(g)\in P(G)$ for all$~g\in G$, that is that $\ad(g)$ is always bijective, it suffice to check that $\ad(g^{-1})$ is the inverse map of $\ad(g)$ by a computation similar to what follows. Now show that $\ad$ is a morphism of groups, that is $\ad(g_1g_2)=\ad(g_1)\circ\ad(g_2)$ for all $g_1g_2$. One has $\ad(g_1g_2)=(h\in G\mapsto g_1g_2h(g_1g_2)^{-1})$, whose final expression can be written as $g_1g_2hg_2^{-1}g_1^{-1}$, which is easily checked to be equal to $\ad(g_1)(\ad(g_2)(h))$, as required.
Now to conclude, check that $\def\id{\operatorname{id}}\ker\ad=\{\, g\in G\mid \ad(g)=\id\,\}=\{\, g\in G\mid \forall h\in G:\ad(g)(h)=h\,\}$ is equal to $\{\, g\in G\mid \forall h\in G:ghg^{-1}=h\,\}=Z(G)$. But then $Z(G)$ like any kernel, is a subgroup, even better a normal subgroup. (It is actually even better, namely a characteristic subgroup, but that does not follow as easily from the argument given.)