I want to show that for some proper subgroup $H\subsetneq G$ ($G$ finite) we always have $$G\neq\bigcup_{g\in G}gHg^{-1}$$ My attempt so far is letting $G$ act on the set $M$ of its subgroups of order $|H|$ by conjugation: $$\begin{matrix}G.M\end{matrix}\to M\\g.H\mapsto H^g$$
The stabilizer $G_H$ obviously then contains $H$, so $G.H$ is not empty and therefor we have that $|G.H|$ is a non trivial divisor of $|G|$. How do I continue from here?