well for starters, IIRC a conversion straight from BMS to an SM compatible file isnt possible, you'll have to do it yourself or get someone to do it for you. This is because stepmania plays DWIs, im actually surprised you got anything out of a BMS. You can open up the song from the "songs" directory in your root SM folder in the edit option in the main menu.
If thats not clear; place song in songs folder then open up sm and pick song in the edit menu from the main menu. From there you can make the course. Once again, IIRC there are some programs out there that help make the DWI creation process a bit easier.
Remember google is your friend! O and a quick and simple tip to remember if you do want to start making DWIs is to look up one of the songs you already have. It shows you how to name your images.
Have fun ^___^! Sorry I couldnt help more though.
*important edit: actually a quick google search brought me to
Dance With Intensity - BMS to DWI Converter give it a go, i would test it but i have no interest in doing so, i dont have any BMS files i want to convert.