The proof of this requires the Axiom of Choice. In particular, without the Axiom of Choice it is consistent that every set of real numbers has the perfect set property, which is equivalent to the negation of your exercise.
To construct an uncountable set of real numbers that does not contain an uncountable closed subset, enumerate the set of all uncountable closed subsets (there are $|\Bbb R|=2^{\aleph_0}$ many such sets) as a transfinite sequence $\langle C_\alpha\mid\alpha<2^{\aleph_0}\rangle$. Then, recursively go through these sets and pick two points $r_\alpha,s_\alpha\in C_\alpha$ that are different from every $r_\beta,s_\beta$ for $\beta<\alpha$. This is always possible, since at stage $\alpha$ of the recursion, you picked less than $2^{\aleph_0}$ many points, and $|C_\alpha|=2^{\aleph_0}$ (and in case the latter is not clear, see for example this answer).
Finally, let $R=\{ r_\alpha\mid \alpha<2^{\aleph_0}\}$ and $S=\{ s_\alpha\mid \alpha<2^{\aleph_0}\}$, then either of these two sets satisfies the property that they are uncountable and do not contain any uncountable closed subset.
Sets like this $R$ are called Bernstein sets, by the way.