Stepmania on SteamOS

when I try to run the stepmania file it asks me which program i want to use

when i run it in terminal it says permission denied. When i sudo it, it says command not found

Don't run it with sudo, there's never a reason to runs stepmania as root.
Running it from a terminal that is in the correct directory is the correct way to run it.

I placed it in the stepmania folder that has all the compile files (/Desktop/stepmania/) in. Ran ./stepmania and it gave me a bad command
edit and i did put all the other files where they should go

What do you mean by "it gave me a bad command"?

I flip flopped them by accident. When I sudo ./stepmania it give me

sudo: ./stepmania: command not found

When I ./stepmania it give me

bash: ./stepmania: Permission denied

Okay I changed it to Execute in permissions under properties and it runs now. but i get

./stepmania: error while loading shared libraries: libavutil.so.52: cannot open shared object file: No such file or directory

so... I thought I put everything in the right place...
so my directory structure is Desktop/stepmania-stepmania-299b469/bundle/ffmpeg/libavutil/ this is correct, no?

You put libavutil.so in the right place, but apparently I uploaded it with the wrong name. Rename it to libavutil.so.52