"Evolution is only a theory; it hasn't been proved."
First, we should clarify what "evolution" means. Like so many other words, it has more than one meaning. Its strict biological definition is "a change in allele frequencies over time." By that definition, evolution is an indisputable fact. Most people seem to associate the word "evolution" mainly with common descent, the theory that all life arose from one common ancestor. Many people believe that there is enough evidence to call this a fact, too. However, common descent is still not the theory of evolution, but just a fraction of it (and a part of several quite different theories as well). The theory of evolution not only says that life evolved, it also includes mechanisms, like mutations, natural selection, and genetic drift, which go a long way towards explaining how life evolved.
Calling the theory of evolution "only a theory" is, strictly speaking, true, but the idea it tries to convey is completely wrong. The argument rests on a confusion between what "theory" means in informal usage and in a scientific context. A theory, in the scientific sense, is "a coherent group of general propositions used as principles of explanation for a class of phenomena" [Random House American College Dictionary]. The term does not imply tentativeness or lack of certainty. Generally speaking, scientific theories differ from scientific laws only in that laws can be expressed more tersely. Being a theory implies self-consistency, agreement with observations, and usefulness. (Creationism fails to be a theory mainly because of the last point; it makes few or no specific claims about what we would expect to find, so it can't be used for anything. When it does make falsifiable predictions, they prove to be false.)
Lack of proof isn't a weakness, either. On the contrary, claiming infallibility for one's conclusions is a sign of hubris. Nothing in the real world has ever been rigorously proved, or ever will be. Proof, in the mathematical sense, is possible only if you have the luxury of defining the universe you're operating in. In the real world, we must deal with levels of certainty based on observed evidence. The more and better evidence we have for something, the more certainty we assign to it; when there is enough evidence, we label the something a fact, even though it still isn't 100% certain.
What evolution has is what any good scientific claim has--evidence, and lots of it. Evolution is supported by a wide range of observations throughout the fields of genetics, anatomy, ecology, animal behavior, paleontology, and others. If you wish to challenge the theory of evolution, you must address that evidence. You must show that the evidence is either wrong or irrelevant or that it fits another theory better. Of course, to do this, you must know both the theory and the evidence.