PokerStars, GGpoker, and partypoker are an example of the sites that have these freeroll steps on offer. The lowest step is free to enter. Win that one, and you'll find yourself with a ticket for Step 2. Continue on and you could make your way to a hefty payday, all for free.
Online gambling is heavily regulated and monitored, so you can feel safe when gambling on GGPoker. As long as you are physically located in a state where online gambling is legal, you need not worry.