For this you can use the startActivity method ( Documentation )
This method requests as a parameter a Intent
This should be informed a Context (in your Activity case) and class of the Activity you wish to open:
Intent intent = new Intent(this, SegundaActivity.class);
startActivity(intent);
ADD CLICK ON A BUTTON THROUGH XML:
In His xml in the first element add the following line: 
xmlns:tools="http://schemas.android.com/tools"
With this you can add what is the context class of this xml: 
 tools:context="seu.pacote.app.SuaActivity"
After, we will inform on the button which method it will call: 
<Button
    android:id="@+id/button"
    android:layout_width="wrap_content"
    android:layout_height="wrap_content"
    android:text="Button"
<!-- ira chamar o metodo proximaTela -->
    android:onClick="proximaTela"
    tools:layout_editor_absoluteX="16dp"
    tools:layout_editor_absoluteY="-2dp" />
In Java add a public method void and that you receive a View as a parameter:
public class SuaTela extends AppCompatActivity {
    @Override
    protected void onCreate(Bundle savedInstanceState) {
        super.onCreate(savedInstanceState);
        setContentView(R.layout.sua_tela);
    }
    public void proximaTela(View view){
        Intent intent = new Intent(this, SegundaActivity.class);
        startActivity(intent);
    }
}
							
							
						 
Thank you very much.
– Murilo Dagustin
Just remember that you can’t forget to declare the new Activity on Androidmanifest.xml <Activity android:name=". Suanovaactivity" />
– linhadiretalipe
Thank you very much Thiago!!!
– Maurício Z.B