Check to see if the FORM has been submitted first, then the field. You should also sanitize the field to prevent hackers.
form name="new user" method="post" action="step2_check.php">
<input type="text" name="mail"/> <br />
<input type="password" name="password"/><br />
<input type="submit" id="SubmitForm" name= "SubmitForm" value="continue"/>
</form>
step2_check:
if (isset($_POST["SubmitForm"]))
{
$Email = sanitize_text_field(stripslashes($_POST["SubmitForm"]));
if(!empty($Email))
echo "Yes, mail is set";
else
echo "N0, mail is not set";
}
}