Haemoglobin has four subunits and two quaternary states, called T for tense and R for relaxed.
In the T state, salt bridges between subunits hold the structure in a conformation with low oxygen affinity. When an oxygen binds, the iron moves into the plane of the haem ring, which drags the histidine attached to it, which pulls the helix, which breaks some of those salt bridges.
Now the whole tetramer is closer to the R state, and every remaining site has higher affinity. That is the cooperativity: the subunits are physically linked, so one binding event changes the shape of the others.
Myoglobin has one subunit, nothing to cooperate with, and a hyperbolic curve. The comparison is the cleanest evidence that the sigmoid shape comes from the quaternary structure.