Dil,
That is a very open question. DNN is ultimately a framework wrapped around individual modules that are like mini-applications. The modules/min-applications are themselves custom programs so if you are looking to develop some custom function that has a wizard involved then the simplest answer is that you would program a module that does whatever you need it to do.
Of course simple answers are usually not the most accurate ones. There are several modules that are effectively development without coding meaning they do a certain prescribed set of functions but with you being able to mold that as you want into one-off functions. You might be able to use one of these tools to create a wizard type of process. Ones that come to mind are XMOD and Dynamic forms.
It is hard to answer your question any better than that because it isn't clear what your wizard is supposed to do.
Good Luck,
Thayer Tate
VP, Project Services
SolTech, Inc.