Almost every topic in this Input problems section is always about people not having correct drivers.
If you are using a Playstation to USB adapter, then you will need drivers for StepMania to be compatible with it.
Follow these steps to get your pad working properly, with up+down, left+right working aswell.
Download the PS to PC Converter which I uploaded for you all. This is a driver that has Dance Mat support. Install the drivers.
After installing, go to Control Panel/Game Controllers. If the PS TO PC CONVERTER does not show up, try rebooting and make sure your dance mat is connected properly. Once it shows up, continue to Step 3..
Go to Control Panel/Game Controllers and click Properties. Click 'Dance Mat Mode' at the top from one of the circular tick-boxes and test it out. Then hit Apply or Ok.
Start up StepMania. All the arrows and buttons should be automatically mapped, but if they are not or if you want to change them, just go to Options\Change Key/Joy Mappings and change away.
Tested and works in Windows Vista, but some issues may occur where the pad will work in Wheel Mode but not in Dance Mat Mode, making StepMania unable to play. The problem is currently unknown, and still being investigated.
These drivers were tested with a PSX 'Dancing Step' padded mat and are fully functional in Windows 98/2000/XP (Issues in Vista, but you can try!).