To perform a weighted step-up, hold a dumbbell in each hand by your sides, standing in front of a sturdy bench or platform. Step onto the bench with one foot, driving through the heel to lift your body up until the leg on the bench is straight. Lower yourself back down with control, returning to the starting position, and repeat the movement for the desired number of repetitions, alternating legs to target the quadriceps, hamstrings, and glutes effectively.