Let $$\rvert\psi\rangle = a_u\rvert u\rangle + a_d\rvert d\rangle = \langle u\rvert\psi\rangle | u\rangle + \langle d\rvert \psi\rangle |d\rangle,$$ where $$\rvert u\rangle = \begin{pmatrix} 1 \\ 0 \\ \end{pmatrix}\quad\text{and}\quad\rvert d\rangle = \begin{pmatrix}0\\1\\\end{pmatrix}.$$
Then $$\rvert\psi\rangle = \begin{pmatrix} a_u \\ a_d \\ \end{pmatrix} = \begin{pmatrix} \langle u\rvert\psi\rangle \\ \langle d\rvert\psi\rangle \\ \end{pmatrix}, \quad\text{and}\quad \langle\psi\rvert = \begin{pmatrix} \bar a_u & \bar a_d \\ \end{pmatrix} = \begin{pmatrix} \langle\psi\rvert u\rangle & \langle\psi\rvert d\rangle \\ \end{pmatrix},$$ so the density matrix corresponding to $|\psi\rangle$ is given by \begin{align} \rvert\psi\rangle\langle\psi\rvert &= \begin{pmatrix} \langle u\rvert\psi\rangle \\ \langle d\rvert\psi\rangle \\ \end{pmatrix} \begin{pmatrix} \langle\psi\rvert u\rangle & \langle\psi\rvert d\rangle \\ \end{pmatrix} \\& = \begin{pmatrix} \langle u\rvert\psi\rangle\langle\psi\rvert u\rangle & \langle u\rvert\psi\rangle\langle\psi\rvert d\rangle \\ \langle d\rvert\psi\rangle\langle\psi\rvert u\rangle & \langle d\rvert\psi\rangle\langle\psi\rvert d\rangle \end{pmatrix} \\ & = \begin{pmatrix} a_u\bar a_u & \color{blue}{a_u \bar a_d} \\ \color{blue}{a_d \bar a_u} & a_d \bar a_d \end{pmatrix} \\& = \begin{pmatrix} \rvert a_u\rvert^2 & 0 \\ 0 & \rvert a_d\rvert^2\end{pmatrix}. \end{align}
How do you show that the off diagonal terms $\color{blue}{a_u\bar a_d}$ and $\color{blue}{a_d\bar a_u}$ come out to 0 ?