What is a hypothesis and during which steps is it important?

A hypothesis is a testable, scientific statement based upon limited evidence as a starting point in order for further investigation.

I assume when you ask during which steps is it important you mean the steps of the scientific method. Although it is important throughout the entire process, the most important would probably making a prediction. You cannot make a (good) prediction without a hypothesis. And without a prediction, you cannot test anything at all. You can't form a conclusion of any sorts.

So I would say it is most important when trying to form a prediction based on your hypothesis.