Tome $\log\left(x\right)=v$. Tenemos
\begin{align}
I&=\int_{0}^{\infty}\frac{\exp\left(-x^{n}\right)-\exp\left(-x^{m}\right)}{x\log\left(x\right)}\ dx\\[10pt]
&=\int_{-\infty}^{\infty}\frac{\exp\left(-e^{vn}\right)-\exp\left(-e^{vm}\right)}{v}\ dv\\[10pt]
&=\int_{0}^{\infty}\frac{\exp\left(-e^{vn}\right)-\exp\left(-e^{vm}\right)}{v}\ dv-\int_{0}^{\infty}\frac{\exp\left(-e^{-vn}\right)-\exp\left(-e^{-vm}\right)}{v}dv
\end{align}
así que si aplicamos la Frullani del teorema de la función $f\left(x\right)=\exp\left(-e^{x}\right)$$g\left(x\right)=\exp\left(-e^{-x}\right)$, respectivamente, obtenemos
$$I=\frac{1}{e}\log\left(\frac{m}{n}\right)-\left(\frac{1}{e}-1\right)\log\left(\frac{m}{n}\right)=\color{red}{\log\left(\frac{m}{n}\right)}$$
como quería.
Adenda. Es interesante notar que fácilmente podemos generalizar el resultado. Tenemos las siguientes:
Teorema. Si $f:\left(0,\infty\right)\rightarrow\mathbb{R}
$ is a function such that $\lim_{x\rightarrow0}f\left(x\right)=f\left(0\right)\in\mathbb{R}
$ and $\lim_{x\rightarrow\infty}f\left(x\right)=f\left(\infty\right)\in\mathbb{R}
$ and is integrable over any interval $0<A\leq x\leq B<\infty
$, then for all $m,n>0
$ we get $$\int_{0}^{\infty}\frac{f\left(x^{n}\right)-f\left(x^{m}\right)}{x\log\left(x\right)}dx=\left(f\left(0\right)-f\left(\infty\right)\right)\log\left(\frac{m}{n}\right).
$$
Prueba: Hemos $$I=\int_{0}^{\infty}\frac{f\left(x^{n}\right)-f\left(x^{m}\right)}{x\log\left(x\right)}dx\overset{\log\left(x\right)=v}{=}\int_{-\infty}^{\infty}\frac{f\left(e^{vn}\right)-f\left(e^{vm}\right)}{v}dx
$$ $$=\int_{0}^{\infty}\frac{f\left(e^{vn}\right)-f\left(e^{vm}\right)}{v}dx-\int_{0}^{\infty}\frac{f\left(e^{-vn}\right)-f\left(e^{-vm}\right)}{v}dx
$$ and now since we have the hypothesis of the classic Frullani's theorem we get $$\begin{align}
I= & \left(f\left(1\right)-f\left(\infty\right)\right)\log\left(\frac{m}{n}\right)-\left(f\left(1\right)-f\left(0\right)\right)\log\left(\frac{m}{n}\right)\\
= & \left(f\left(0\right)-f\left(\infty\right)\right)\log\left(\frac{m}{n}\right).\\
& \qquad\qquad\qquad\qquad\qquad\qquad\qquad\qquad\qquad\qquad\square
\end{align}$$