I had the same problem earlier this week. Stepmaina worked fine for me until I added some new song packs to it. After I added them, I kept getting kicked back to the dashboard when I tried to start Stepmania up.
Took a look at my Songs folder and saw that I accidently placed a single song folder inside of it. Before, all the songs would be in sub-folders (like 'DDR Max 6th Mix' and 'DDR Extreme 8th Mix'). As soon as I deleted that single song folder though, I was able to start playing Stepmania again.
So yeah, just create another folder for your Stepmania songs...once they are in there, THEN you can place them in the main Stepmaina songs folder.