A new stepping is when they do a small change to fix a bug or add a feature to the core of a processor.
If your referring to an Intel CPU, then the first version of a new microprocessor product is the A-0 core step. Later, as improvements are made to the product for functional fixes or manufacturing improvements, the core stepping number is incremented. Generally speaking, minor changes result in an increased number (i.e. A-3 to A-4), while more complex changes result in the letter being changed (i.e. A-3 to B-0). Note that a B-0 core stepping is more recent than an A-4 core stepping.