in the first step or at the first step

"At the first step" is the more commonly used phrase.

"In the first step" is also grammatically correct, but it is less common.

Here are some examples of how the two phrases are used:

• At the first step, you will need to create an account.
• In the first step, you will be asked to provide your name and email address.
• At the first step, you will be given a list of options.
• In the first step, you will need to select the option that best meets your needs.

Ultimately, the choice of which phrase to use is up to the writer. However, "at the first step" is the more common and idiomatic choice.