To show that $(X, d_{\infty})$ is complete, pick a Cauchy sequence $\{ f_n\}_n \subseteq X$.
This means that
$$\forall \varepsilon >0, \exists N : \forall n,m \geq N \ \ \ \sup_{s \in S} |f_n(s) - f_m(s)| < \varepsilon$$
In particular this implies that $\forall s \in S$ the sequence $\{ f_n(s) \}_n \subseteq \mathbb{R}$ is Cauchy. But $\mathbb{R}$ is complete, so $\{ f_n(s) \}_n$ is convergent.
Call
$$f(s) = \lim_n f_n(s)$$
In this way you define the pointwise limit of the $f_n$. Now you have to show two things:
- $f \in X$, i.e. $f$ is bounded
- $\lim_n d_{\infty}(f_n, f) = 0$, i.e. $f_n$ converges to $f$
This completes the proof, since you show that every Cauchy sequence is convergent.
Since $f_n$ is Cauchy, it is a bounded sequence. This means that $\exists L >0$ such that for all $n$ you have $\sup_{s \in S} |f_n(s) - f_1(s)| \leq L$. But now, this implies that for all $s \in S$ you have $|f(s)| \leq L + \sup_S |f_1|$, so $f$ is bounded.
$\forall \varepsilon > 0$ let $N$ be such that $\forall n,m \geq N \ \ \sup_{s \in S} |f_n(s) - f_m(s)| < \varepsilon$. Then $\forall n \geq N$
$$d_{\infty} (f, f_n) = $$