multistep module to create multistep registration form
From my experience, CTools works great for multistep forms using the CTools form wizard. I've already used it successfully but never tried with user registration.

You can follow a nice tutorial for that case here:
Multistep registration form in Drupal 6

Another tutorial:
Intro to Drupal 6 Multistep Form Domination Using Chaos Tools

Happy coding :)