On Windows, it is recommended that you utilize the installer.
On some distributions, StepMania may be available in your package repository, although the availability of current versions is not guaranteed. It is recommended that you compile source code instead.
The installation is simply done by dragging the folder contained within the .DMG file itself to your desired location.
Keep in mind, because of Apple's security concerns, some procedures are required in order to boot up the game. These are mentioned on MacOS's Troubleshooting section.