You borrow shares of the index today and sell them immediately. You will need to return those shares at some point, depending on your contract. The day the shares are due, you can buy them at the market price and complete the deal.

That's one way to do it. You can also use things like puts and mini-futures, which have some convenient properties. For instance when selling something short your equity can become negative. When buying puts, the worse-case scenario is zero.