A proof by exhaustion splits a problem into a finite number of separate cases and then checks every single one. If the statement holds in all of them, it is proved. The catch is in the name: you can only do this when the cases are finite — you cannot exhaust infinitely many.
For example, suppose we claim that every integer from 1 to 5, when squared, is less than 30. There are only five cases, so we just check them all:
Every result is below 30, and there are no other cases to try, so the statement is proved. ✓