The proof by contradiction should start with
> assume that $a$ and $b$ are both odd and $4\mid (a^2+b^2)$
You can continue by saying
> write $a=2h+1$ and $b=2k+1$
and
> so that $a^2+b^2=4h^2+4h+1+4k^2+4k+1=\dots$
Now you can add
> and we have a contradiction, because this would imply $\dots$