let $U \supseteq \bigcap_n K_n$ be open. Set $L_n = K_n \setminus U$, then the $L_n$ are a nested sequence of compact sets. Now $\bigcap_n L_n = \bigcap_n K_n \setminus U = \emptyset$, therefore there is an $m$ such that $L_n = \emptyset$ for $n> m$, which means that $K_n \subseteq U$ for these $n$.