Though not all securities [E.g. Penny Stocks] have liquid options, and in those cases, you will have to borrow the stock to short it. As OP states, you will need to have a margin account to be able to borrow and short a stock.
E.g. Let's look at LNKD options.
http://www.marketwatch.com/investing/stock/lnkd/options
If you think that LNKD will tank in July 2011, you can buy Jul 77.50 PUTS for 7.35$. Let's say you buy 100 PUTS. Your total outlay will be 7.35 x 100 = 735$. If it goes down, your option price will increase and you can sell them and cash in your money. If for some reason, LNKD shoots up and goes to 100$ again, your option will be worthless and you would lose your 735$ which you paid.
Let's compare this to actually shorting LNKD. First, to short 100 shares at 77.50, you will need at least 77.50 x 100 = 7750$ in margin. If LNKD goes to 100$, you are down by (100 - 77.50) * 100 = 2,250$.
As you can see, PUT option lets you make a bet with much less capital (735$ vs 7750$) if you think LNKD is not worth 77.50$.
Please be very careful before you enter the world of stock market. It's very seductive and there is a high chance you will lose serious money if you don't understand what you are doing.