There are 16 toothpicks. We want to make 4 squares, so we'll need to use all of
the toothpicks only once (4 squares, with 4 toothpicks each, use up all 16 toothpicks.)
This means that the final 4 squares will only intersect at the corners.

To get there, you need to move the two toothpicks highlighted in this diagram:

(Here's your last chance to solve this on your own. Now that you know which toothpicks
to move, why not give it one more try before looking at the rest
of the solution?