If $G$ is an infinite simple group then any proper subgroup of $G$ has infinite index.
This question's hint is use the $n!$-theorem but i dont understand how i use it for answer.
$n!$-theorem: Let $G$ be a group and $H$ be a subgroup of $G$ of finite index, say $|G:H|=n$. Then there is a normal subgroup N of $G$ such that $N\subseteq H$ and $G/N$ is isomorphic to a subgroup of $S_n$ and so $|G/N|$ divides $n!$. Indeed, ${\rm core}_G(H)$ is such a normal subgroup of $G$.
Assume for contradiction that $G$ is an infinite simple group and has a finite index subgroup $H$ such that $|G:H|>1$. Then, $\mathrm{Core}_G(H)$ is a finite index normal subgroup because the intersection of finite index subgroups is finite and by definition $\mathrm{Core}_G(H)$ is invariant under conjugation by $G$. In particular, $G$ has a non-trivial proper normal subgroup and therefore cannot be simple. Thus, $G$ does not have any proper finite index subgroups.