Priority rules can be rather daunting to apply correctly, but in simple molecules with only a few functional groups at most it shouldn't be too difficult. In this case, the aldehyde is the highest ranking group, so that's where you start counting. Next step is identifying the longest chain of carbon atoms (here, 5 atoms, including the aldehyde). The ethyl function is then another substituent. It's also the reason as to why this is not hexanal: there is no uninterrupted chain of 6 carbon atoms.