How to exploit the capital market line?

The capital market line theoretically allows one to construct a portfolio using a risk-free asset that is superior to any portfolio on the Markowitz efficient front. This is explained here:

http://www.riskglossary.com/articles/capital_market_line.htm

If my understanding is correct, in order to achieve higher returns for the same risk requires shorting the risk-free asset, investing the proceeds in the super-efficient portfolio, and then covering the short position on the risk free asset.

This is where I get confused. I do not understand how it is possible to have a risk-free short position. Shorting implies that someone owns the shares, lends them to you, you sell them, wait for the share value to drop, buy back the shares, and give them back to the original lender. Why would anyone agree to lend shares for you to sell if there was a risk-free opportunity to sell them and buy them back at a lower cost??

According to wikipedia, the risk-free asset "is usually provided by an investment in short-dated Government securities." ( http://en.wikipedia.org/wiki/Modern_portfolio_theory )