Vista does not allow programs running with normal privileges to write into Program Files anymore. (Even if you are using an administrator account, your programs are still running with the rights of a restricted user.)
To maintain compatibility however, they are transparently stored into another place in your personal folder (the folder that bears your username, which can be accessed from the start menu).
It is conveniently located at <your personal folder>\Appdata\Local\VirtualStore\<whatever the path is>.
So for example, if your StepMania 3.9 is installed at Program Files\StepMania, you'll be able to find some files at \Appdata\Local\VirtualStore\Program Files\StepMania.
To avoid this problem you can install StepMania in a folder where all users can write to, for example, \ProgramData\StepMania or in your personal folder.
(This guide certainly still has room for improvement.)