Answer
For every $p\in\{1,2,\ldots,n\}$
$$\frac{\partial}{\partial x_p}u=\frac{2x_p}{2\sqrt{x_1^2+\ldots+x_{p-1}^2+x_p^2+x_{p+1}^2+\ldots+x_n^2}}$$
Work Step by Step
We will differentiate with respect to some $x_p$where $p=\overline{1,n}$ and we will hold all other $x_i$, $i\neq p$ constant:
$$\frac{\partial}{\partial x_p}u=\frac{\partial}{\partial x_p}\sqrt{x_1^2+\ldots+x_{p-1}^2+x_p^2+x_{p+1}^2+\ldots+x_n^2}=\frac{\frac{\partial}{\partial x_p}(x_1^2+\ldots+x_{p-1}^2+x_p^2+x_{p+1}^2+\ldots+x_n^2)}{2\sqrt{x_1^2+\ldots+x_{p-1}^2+x_p^2+x_{p+1}^2+\ldots+x_n^2}}=\frac{\underbrace{0+0+\ldots+0+\frac{\partial}{\partial x_p}x_p^2+0+\ldots+0}_{n-terms}}{2\sqrt{x_1^2+\ldots+x_{p-1}^2+x_p^2+x_{p+1}^2+\ldots+x_n^2}}=\frac{2x_p}{2\sqrt{x_1^2+\ldots+x_{p-1}^2+x_p^2+x_{p+1}^2+\ldots+x_n^2}}.$$
Note that this is true for every $p\in\{1,2,\ldots,n\}$ so for every individual first partial derivative we want, we just put that particular value for $p$.