Do you know how to multiply (i.e. compose) two permutations?If not, consult your textbook. What is needed to show that some set with an operation is a group? It must have an identity, an inverse and it must be CLOSED (Associativity is free since A_n is associative). The first two are trivial.
In your case, given \(\displaystyle \sigma, \,\, \tau \,\, \in \,\, S=\{(12)(34)(5),\,\,(13)(24)(5),\,\,(23)(41)(5),\,\,(1)(2)(3)(4)(5)\}\) you need to show \(\displaystyle \sigma \tau \,\, \in S\). Also that \(\displaystyle \sigma \tau = \tau \sigma\) to show commutativity.
Generally closure tests (resp. abelian) are done arbitrarily. However, given this specific set closure should be done for each specific element (unless you see some general rule that I don't). A simple operation table (called a "Cayley Table") will show this clearly.