Assume $\gcd(m,n)=1$. Then $d\mid mn$ if and only if $d=ab$, where $a\mid m$, $b\mid n$ and $\gcd(a,b)=1$.
So I know that $mx+ny=1$ for some integers $x,y$. Also that $m=aE$ and $n=bF$ for some integers $E,F$.
If $d\mid mn$ then $mn=dQ$.
So then you have that $mn=abEF$ so $dQ=abEF$. I'm not sure how to conclude that $Q=EF$ so you get $d=ab$. Now the reverse direction seems simpler if $d=ab$ then you have right away that $d\mid mn$.