[step:Construct the nested sequences $(x_i)$, $(S_i)$, $(c_i)$ by recursion]We construct sequences $x_1, x_2, \ldots \in \mathbb{N}$, infinite sets $S_0 \supseteq S_1 \supseteq S_2 \supseteq \cdots$, and colours $c_1, c_2, \ldots \in \{\text{red}, \text{blue}\}$ by recursion on $i \geq 0$, maintaining the invariant:
$(\ast)$ For each $i \geq 1$: $x_i \in S_{i-1}$; $S_i \subseteq S_{i-1} \setminus \{x_i\}$; $S_i$ is infinite; and for every $y \in S_i$ the edge $x_i y$ has colour $c(\{x_i, y\}) = c_i$.
**Base.** Set $S_0 = \mathbb{N}$, which is infinite.
**Inductive step.** Suppose $S_{i-1} \subseteq \mathbb{N}$ is an infinite set for some $i \geq 1$. Pick any $x_i \in S_{i-1}$ (possible since $S_{i-1}$ is non-empty), and consider the partition of $S_{i-1} \setminus \{x_i\}$ by the colour of the edge to $x_i$:
\begin{align*}
R_i &= \{y \in S_{i-1} \setminus \{x_i\} : c(\{x_i, y\}) = \text{red}\}, \\
B_i &= \{y \in S_{i-1} \setminus \{x_i\} : c(\{x_i, y\}) = \text{blue}\}.
\end{align*}
Then $R_i \sqcup B_i = S_{i-1} \setminus \{x_i\}$, which is infinite (the set $S_{i-1}$ is infinite and removing one element preserves infinity). A union of two sets is infinite only if at least one of them is infinite, hence at least one of $R_i$, $B_i$ is infinite. Define
\begin{align*}
(S_i, c_i) &= \begin{cases} (R_i, \text{red}) & \text{if } R_i \text{ is infinite}, \\ (B_i, \text{blue}) & \text{otherwise (so } B_i \text{ is infinite)}. \end{cases}
\end{align*}
Then $S_i$ is an infinite subset of $S_{i-1} \setminus \{x_i\}$ such that every $y \in S_i$ satisfies $c(\{x_i, y\}) = c_i$. This preserves the invariant $(\ast)$ at index $i$, completing the recursion.[/step]