A conjugated protein has something called a prosthetic group attached to it, in addition to one or more peptide chains. Simple proteins are made up simply of chains of amino acids help together by peptide bonds and folded or twisted in a specific way. A conjugated protein goes a step further and incorporates a non-peptide group, the prosthetic group. This prosthetic group may include organic components such as a lipid, sugar, or vitamin, or may be inorganic, such as a mineral or metal ion.
Hemoglobin consists of four polypeptide chains, two alpha chains and two beta chains. Each of the four chains also includes a heme group, a basket-shaped ring of carbon and nitrogen atoms with an iron ion (Fe2+) in the center. Technically each of the four subunits is a conjugated protein in its own right, and when the four join to create a hemoglobin molecule, that is a conjugated protein too.
There are excellent illustrations at the links below which may help you to visualize this.