I'm trying to show that every finite index subgroup $H$ of $\mathbb Z_p$ is open. Since $H$ has finite index, it is equivalent (and perhaps easier) to show that it is closed. But I've tried showing that, and I can't work out how to use the finite index condition at any point.
Another thing I tried was showing that any non-closed subgroup $K$ of $\mathbb Z_p$ must have infinite index, by using non-convergent sequences in $K$ to construct infinitely many cosets. But I don't think it's obvious even that $\mathbb Z$ has infinite index in $\mathbb Z_p$ (apart from using a cardinality argument that might not generalize to general non-closed subgroups).
As far as I'm aware, this is a property that is not shared by general profinite groups. So any proof must use some other part of the structure of $\mathbb Z_p$ in an essential way.
I've voted to close the question, since it's answered here.
For completeness, the answer is:
Let $n=[\mathbb Z_p:H]$. We claim that $n\mathbb Z_p\subset H$. But this is just Lagrange's theorem applied to the quotient group $\mathbb Z_p/H$.
Now it can be shown that $[\mathbb Z_p:n\mathbb Z_p]=|n|_p^{-1}$. So if $p^k$ is the largest power of $p$ dividing $m$ then $[\mathbb Z_p:n\mathbb Z_p]=p^{k}=[\mathbb Z_p:p^k\mathbb Z_p]$. Therefore, $n\mathbb Z_p=p^k\mathbb Z_p\subset H$, so $H$ is open.