An issue can only enter a new step via a transition (either instantly or via a transition view), which often defines other properties that needs to be set in order for the issue to progress to the defined step. For the issue to progress, a transition from the current step to any other step in the workflow needs to be defined in the workflow itself.
An example of this is such as when an issue is in the initial step (often linked with the status "New"), a transition can take it to the "Confirmed" step (often linked with the corresponding "Confirmed" status). During this transition, a user or developer may be asked to provide additional details to validate the transition. How transitions work are explained in more detail in the transitions documentation.
The workflow step is not visible anywhere on the issue - the way to tell it is usually to look at its state (open / closed) and the issues status field. This will give you an overview of the issues current position in the defined workflow.
A step does not have any specific actions associated with it. Because a step is a "state", not the transition between states, the step definition is limited to the three properties mentioned above, and does not include actions.
If you're using a non-default workflow, new steps can be added from the workflow configuration page. This page lists all steps in the specified workflow, and lets you edit the step and/or add outgoing transitions to it, leading to another step.