This is the solution that my book gives ($\mathbb{F}_p$ is the finite field with $p$ elements):
We can assume that $p\neq 2,3$ because $0$ is a root of $f(x)$ in $\mathbb{F}_2$ and $\mathbb{F}_3$. Let $Q$ be the "squares subgroup" (?) of index $2$ in $\mathbb{F}_p^*$. If $2$ and $3$ are not in $Q$ (this means that $(x^2-2)(x^2-3)$ doesn't have roots in $\mathbb{F}_p$), then $2 \cdot 3 \in Q$ (?), and then $x^2-6$ has a root in $\mathbb{F}_p$.
Honestly, I don't understand this solution at all: what is the "squares subgroup" of $\mathbb{F}_p^*$? And why $2 \cdot 3$ must be in this group?