When a patient is prescribed an expensive, branded drug, a payer may determine that the patient will not be allowed coverage on that expensive drug until other, less expensive protocols have been tried, first.
Typically the patient will be given the least expensive drug in the same class first to see if it works. If it works well for the patient, then no more "steps" are needed.
If the patient does not have the desired outcomes with the first drug, then a second drug, the next least expensive drug in the same class, will be tried... and so forth until the patient takes a drug that is effective drug, and costs the least amount of money.
In some cases, step therapies may be prescribed in terms of risk instead of money. The least risky prescription will be tried first, etc.
The insistence upon step therapy or step protocols is a form of denial of care used by health insurers and payers to control their cost of care for a patient.