You just need to use the following trick:
Two elements $u,v$ are linearly independent if and only if $v,u-v$ are (prove this yourself).
Now, apply this to your situation. If you subtract one term from the next, you are left with showing that $a_1,2a_2,3a_3, \ldots, na_n$ are linearly independent.
Similarly, $u,v$ are linearly independent if and only if $au,bv$ are, for some (and hence any) non-zero constants $a,b$.
So the constants we choose are : $1,\frac 12, \frac 13 \ldots \frac 1n$. So we get that:$a_1, \frac 12 (2a_2),\frac 13 (3a_3), \ldots \frac 1n (na_n)$ are linearly independent. But then, this set is just $a_1, \ldots, a_n$. So you are done i.e. these are linearly independent.