The Steps feature in Primavera is available in the Activities window - Detail Tab - Steps tab. This is quite useful feature to help you breakdown your activity or if you just want to specify steps to perform the activity.
You can add as many steps for an activity as you want. You can also mark a step as completed when it is done.
On the right-side of the bottom-window, you can click Modify to write a note against each step as well.