Typically, most the cogs are fastened together with a rivet (or screw?) just to make assembly faster at the factory. (at least the low end Shimano stuff that I can afford)
You can file down the rivet heads (SOFT steel) and carefully drive them out to separate the cogs.
I've done this on cassettes to make my own "custom" gearing. It also makes them easier to clean, since you can separate them later for that purpose. OTOH, it makes reassembly a bit more of a pain.
I'm kind of just using the factory assembly since I've gone to 9 speed. One bike has the factory cassette and my other bike with the "custom" cogs has reverted to a factory available combination.