Couldn't find X11 libraries.

paradisee@Paradisee-Main:~/Downloads/stepmania$ ./stepmania
./stepmania: error while loading shared libraries: libGLEW.so.1.11: cannot open shared object file: No such file or directory

No more help?

Install the libglew package.

To make it works i typed:
sudo ln -s /usr/lib64/libGLEW.so.1.11 /usr/lib/libGLEW.so.1.11

Is there a way to maximize the window?

Thanks for the help!

Hold Alt and tap Enter to switch between windowed and fullscreen modes. There's a small problem where the key releases aren't picked up when switching, so after the switch, you have to tap Alt by itself so stepmania sees it released, and Enter by itself, so stepmania sees that one get released.
You can't Alt+tab out when in fullscreen mode.
Because of those two problems, I just set the resolution to my full screen size and run with no window decorations. (running with no decorations varies depending on the window manager, I think)

It works, i have a last question...How do i go into the menu?

Scroll Lock is the default binding for accessing the operator menu.
If the default theme isn't showing a menu, it's probably because you don't have the game set to Home mode, which is under the Arcade Options.