If $\lim \sup a_n = l \in \mathbb R$, then given $\epsilon > 0, \exists N$ such as $a_n < l + \epsilon, \quad \forall n \geq N$.
So,
Let $(a_{n_k})$ subsequence such as $a_{n_k} \to l$. Given $\epsilon > 0, \exists k_0$, if $k \geq k_0, \quad |a_{n_k} - l| < \epsilon$.
Let $(a_{n_j})$ another subsequence such as $a_{n_k} \to k \leq l$. Given $\epsilon > 0, \exists j_0$, if $j \geq j_0, \quad |a_{n_j} - l| < \epsilon$.
How can I continue the proof?
You can do it by contraposition :
Suppose that $\forall N, \exists n>N, a_n \geq l+\epsilon$
You can construct by induction a sequence of indices $(n_i)$ this way :
$\exists n_0>0, a_{n_0} \geq l+\epsilon$
Suppose $n_{i}$ constructed, then by hypothesis, $\exists n_{i+1} > n_i , a_{n_{i+1}} \geq l+\epsilon$
A reccurence gives you the existence of a subsequence $a_{n_i}$ of $a_n$ such that $\forall i, a_{n_i} \geq l+\epsilon$
Now, because $n_i \geq n$, you have $\sup_{n>N} a_n \geq \sup_{i>N} a_{n_i} \geq l+\epsilon$
So $\limsup a_n \geq l+\epsilon$
Hence you proved that
$\forall N, \exists n>N, a_n \geq l+\epsilon$ imply $\limsup a_n \geq l+\epsilon$
or, by contraposition,
$\limsup a_n < l+\epsilon $ imply $\exists N, \forall n > N, a_n < l+\epsilon$