Forgive me if I'm pointing out the obvious for you, but if you wanna just play the songs themselves (as in listening to the MP3s), just go to whichever songs folder you want and play the music file in it. If you wanna play an OGG, that's a different story.
Now if you wanna actually play the songs (as in on Stepmania), then you have to go to the Songs folder in your Stepmania directory, create a new folder and call it whatever you want, then copy your DDR/ITG/FFR/Bemanistyle/whatever song folder you have and copy it to the folder you created. You'll then be able to play it in SM.
I think you were talking about something else though.
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