I'm going to assume everything is happening in mathbbRn, which I think is what you intended.
Start by defining V(0) = 0.
Now, for each xinmathbbRn, let gammax:[0,b]rightarrowmathbbRn be a (piecewise) smooth curve with gammax(0)=0 and gammax(b)=x, i.e., gammax is any continuous curve joining 0 to x. Define V(x)=intb0Wcdotdgammax(t)=intb0W(gammax(t))cdotgamma′xdt, that is, V(x) is the result obtained by integrating W along gammax.
First note that by the fundamental theorem for line integrals, V(x) is independent of the choice of curve. Thus, to actually compute V(x), one may as well take gammax to be a straight line joining 0 and x (or, if some other path gives a nicer integral, use that).
However, to actually prove that this V(x) satisfies nablaV=W, it'll help to be able to pick the curves however we want.
So, why does this V(x) work? Well, suppose one wants to compute fracddx1V(x). Formally, this is limhrightarrow0fracV(x+he1)−V(x)h, where e1 is a unit vector in the direction of x1.
To actually evaluate this, make life as easy as possible by picking gammax+he1 and gammax nicely. So, pick gamma(t) to be a smooth curve which starts at 0, and when , near x, looks like a straight line pointing in the direction of e1, with gamma(1)=x. Thus, gamma(t) is both gammax and gammax+he1, if you travel along it long enough.
Then V(x+he1)−V(x)=int1+h1Wcdote1dt.
But then fracddx1V(x)=limhrightarrow0frac1hint1+h1Wcdote1dt. But then, by the fundamental theorem of calculus (the usual one variable version), this is exactly Wcdote1, i.e., it's the first component of W. Of course, the other components work analogously.
(Incidentally, using Petya's isomorphism between vector fields and one forms, and using Stokes' theorem in place of the fundamental theorem of line integrals, this proves that H1textdeRham(mathbbRn)=0)
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