1. Follow along with the StepMania installer, ensuring that you do not install to Program Files to avoid conflicts with Windows UAC. By default, the installer will install to C:\Games\ and this is recommended.
2. You'll likely need Microsoft's Visual C++ x86 Redistributable for Visual Studio 2015.
3. You'll also need to have Microsoft's DirectX 9 runtime. It's possible you already have it installed from something else, but if StepMania crashes with d3dx9_43.dll was not found or XINPUT1_3.dll is missing, you don't, and you'll need to install it.
macOS 10.15 (Catalina) dropped support for 32-bit apps. As a result, the most recent release of StepMania (SM5.1-beta2) is not compatible with macOS 10.15.
If you've already upgraded to Catalina, you'll need to build your own StepMania application from source code until the next release occurs. The wiki has instructions on how to do this.
If you're running an older version of macOS (10.7 to 10.14), you can still use 5.1-beta2.
You may find that beta2 crashes immediately with No NoteSkins found or Metric "Common::ScreenWidth" is missing. This wiki page provides a workaround fix.
If the precompiled executable is not compatible with your architecture/distro/etc., you'll likely have better luck building from source.