Hi Jennifer,
This module: https://appstore.home.mendix.com/link/app/43/ can link a user straight to a specific page or step in your app from a link. It's pretty easy to set up, just follow the readme.
Good luck!
Deeplink module is a good idea.
Also mendix has an out of the box solution by setting a url for a page. See https://docs.mendix.com/refguide/page
When your step is a specific page you can give the page the url https://Mendixurl/p/step4
You can even use https://Mendixurl/p/step4/{id} when your page has a page parameter.