Two finite fields with the same number of elements are isomorphic
Solution 1:
You can show that $f$ divides any polynomial in $\mathbf Z_p[x]$ having $\alpha$ as a zero: the set of such polynomials is an ideal in the principal ring $\mathbf Z_p[x]$, and since $f$ is irreducible it follows that $f$ must generate this ideal.
Solution 2:
If $\alpha$ is a root of $f\in\mathbb{F}_p[x]$, i.e. $$f(\alpha)=0\in\mathbb{F}_p,$$ show that $\alpha$ is also a root of $f(x^p)$, so that $\alpha^p$ is also a root of $f$. If $f$ is irreducible of degree $n$, this implies that in fact, all of the other roots of $f$ are $\alpha^p,\alpha^{p^2},\ldots,\alpha^{p^{n-1}}$ (the key is to show that these elements are distinct). So all the roots of $f$ are in $E$.
Solution 3:
Because $f(x)$ has a root $\alpha$ in $E$, we know that ${\rm gcd}(f(x),x^{p^{n}}-x) \neq 1$ in $\mathbb{Z}_{p}[x]$. For otherwise, we could write $a(x)f(x) + b(x)(x^{p^{n}}-x) = 1$ for polynomials $a(x),b(x) \in \mathbb{Z}_{p}[x]$. But evaluating this expression at $\alpha$ gives a contradiction, as the left hand side takes value $0$ at $\alpha$.
Since $f(x)$ is irreducible in $\mathbb{Z}_{p}[x]$, we must have ${\rm gcd}(f(x),x^{p^{n}}-x) = f(x)$ in $\mathbb{Z}_{p}[x]$ ( up to a constant multiple, where the constant is a non-zero element of $\mathbb{Z}_{p}$). But then $f(x)$ divides $x^{p^{n}}-x$ in $\mathbb{Z}_{p}[x]$ as required.