on page 1, set the forms method to post, and the action to go to page 2:
<form name="form1" method="post" action="page2.php">
<label for="fName">First Name</label>
<input type="text" name="fName" id="fName">
<br>
<label for="lName">Last Name</label>
<input type="text" name="lName" id="lName">
<br>
<label for="submit"></label>
<input type="submit" name="submit" id="submit" value="Submit">
</form>
on page 2, in addition to the new form fields, you need to create hidden form fields to capture the data that was posted from page 1, if it is the last page, the action can be left blank:
<form name="form1" method="post" action="">
<label for="city">City:</label>
<input type="text" name="city" id="city">
<br>
<label for="state">State:</label>
<input type="text" name="state" id="state">
<br />
<input name="fName" type="hidden" id="fName" value="<?php echo((isset($_POST["fName"]))?$_POST["fName"]:"") ?>">
<input name="lName" type="hidden" id="lName" value="<?php echo((isset($_POST["lName"]))?$_POST["lName"]:"") ?>">
<input type="submit" name="submit" id="submit" value="Submit">
</form>