Momentum, p, is a vector quantity:
p = pxi + pyj
The initial value of the momentum is:
p(0) = (u·cos θ)i + (u·sin θ)j
The x-component has no force acting on it, so after time t it is still px = u·cos θ. The y component is affected by the force of gravity on the body, F = mg, and after time t is given by py = u·sin θ + mgt. Hence the momentum after time t is:
p(t) = (u·cos θ)i + (u·sin θ + mgt)j
The change in momentum is:
p(t) - p(0) = (u·cos θ - u·cos θ)i + (u·sin θ + mgt - u·sin θ)j = (mgt)j