Its beacuse a setting called "register_globals" is turned off by deafult on the php.ini file. If you turn it back on, everything will work fine, doing so is a SERIOUS security threat and i wouldnt recoment doing it at any cost.
Now the way you should write your code to read teh variable is:
Page 1:
<a href="page2.php?page=clickme">Click me</a>
Page 2:
echo "Varibale 'page' is equal to: ".$_GET['page'];
That shudd output "Variable 'page' is equal to: clickme".
similarly you can access varibales submitted by POST methid by: $POST['variable_name'], server varibales by $SERVER['variable_nameeg😛HP_SELF'] etc.
Read the PHP manual for more information.
Hope that helped
r O h I t H