Let $m = p_1^{e_1}p_2^{e_2}...p_k^{e_k}$ and $n = q_1^{d_1}q_2^{d_2}...q_i^{d_i}$ for $p, q$ prime and $e, d \in \mathbb{Z}$.
Then we have
$$\sigma(mn) = \sigma(p_1^{e_1}p_2^{e_2}...p_k^{e_k}*q_1^{d_1}q_2^{d_2}...q_i^{d_i})$$
We know the divisors of $p_1^{e_1}$ are $1, p_1, p_1^2, p_1^3,..., p_1^{e_1}.$ This holds for any prime to any power.
Since the gcd$(m,n) = 1$, we also know $m$ and $n$ share no common divisors
So we have $$=[1+p_1+p_1^2+...+p_1^{e_1}][1+p_2+p_2^2+...+p_2^{e_2}]...[1+p_k+p_k^2+...+p_k^{e_k}] * [1+q_1+q_1^2+...+q_1^{d_1}][1+q_2+q_2^2+...+q_2^{d_2}]...[1+q_i+q_i^2+...+q_i^{d_i}]$$
The first half of the statement above is just the divisors of $m$ and the second half is the divisors of $n$
Then
$$= \sigma(m)\sigma(n) $$
The proof is bidirectional