MHB Sorry, I'm not sure what you're asking for. Could you clarify?

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An infinite group with a subgroup of finite index greater than one cannot be simple due to the existence of nontrivial normal subgroups. The problem statement was corrected to clarify the term "subgroup of finite index > 1." Examples of infinite simple groups, such as the projective special linear group PSL2 over an infinite field, illustrate that not all infinite groups are complex. Several members, including caffeinemachine, Deveno, and johng, provided correct solutions to the problem. The discussion emphasizes the importance of precise terminology in mathematical problems.
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Why can't an infinite group that has a subgroup of finite index $> 1$ be simple?

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Hello again MHB community,

I've made a correction to the problem statement. The term "finite index subgroup" has been replaced by "subgroup of finite index $> 1$". This is important, for there are infinite simple groups. For example, given any infinite field $F$, the projective special linear group $\operatorname{PSL}_2(F)$ is simple. Sorry for the typo.
 
Congratulations to the following members for their correct solutions:

1. caffeinemachine

2. Deveno

3. johngHere is a solution by Deveno:

So assume $G$ is infinite, and has a proper subgroup of finite index.

Letting $G$ act on the finite set of (left) cosets $G/H$ by left multiplication, we obtain a homomorphism:

$\phi:G \to S_n$, where $n$ is the index of $H$ in $G$.

The kernel of $\phi$ cannot be trivial, since $G$ is infinite, and $S_n$ is not (thus there can be no injection of $G$ into $S_n$ whatsoever, all the more so a homomorphic injection).

$\phi$ cannot be trivial (that is, the kernel cannot be all of $G$) since $H \neq G$, so that there exists at least one coset $gH \neq H$, thus $\phi(g) \neq \text{id}$-so $g$ is not in the kernel.

Thus $\text{ker }\phi$ is a non-trivial proper normal subgroup of $G$; that is, $G$ is not simple.
Here's another solution by johng:

Suppose the infinite group $G$ has a subgroup $H$ of finite index $n >1$.The number of conjugates of $H$ in $G$ is the index of the normalizer of $H$ in $G$, $[G:N(H)]$ again a finite integer since $N(H)$ contains $H$. Now if two subgroups $H$ and $K$ have finite index, the index of $H\cap K$ is also finite (this index is easily shown to be less than or equal to the product of the indices of $H$ and $K$). So the intersection of a finite number of subgroups, each of finite index, has finite index. Consider $\operatorname{Core}(H)$, the largest normal subgroup of G contained in H; it is the intersection of all conjugates of $H$. So $\operatorname{Core}(H)$ has finite index and hence is a proper normal subgroup.