It's fairly hard to explain in through a medium like this. For a good explanation, you should look it up in a biochemistry textbook such as Biochemistry
by Voet and Voet. Here is a short summary:
In deoxyhemoglobin, the iron is coordinated to the four nitrogens of the heme group and the nitrogen of a histidine residue that lies below the heme. In this state, the iron lies slightly out of the plane of the heme group. However, upon binding to oxygen, the iron now is coordinated by six ligands and the geometry of ligand coordination changes to bring iron into the plane of the heme ring. This exerts a pulling force on the histidine residue which causes a large, lever-like movement of a helix within hemoglobin, chainging the overall shape of hemoglobin. These shape changes are communicated to the other hemoglobin subunits through the binding interfaces, causing the other subunits to adopt the higher affinity state where the iron lies within the plane of the heme group.
For visuals, please see movies here: http://en.wikipedia.org/wiki/Hemoglobin#Binding_of_ligands