Simply go:
Options -> Graphic Options -> Display Mode -> Windowed
There is also another way... If does not work or just 100% work.
Open the StepMania.ini or Preferences.ini
On StepMania 4
C:\Documents and Settings\~~\My Documents\StepMania CVS\Save\Preferences.ini
On Stepmania 3.9
C:\Program Files\StepMania\Data\StepMania.ini
Open it with Notepad
Once you open it find this code:
if it 0 that means
Off. And 1 is
On
- Just like Binary Rule -
So then save whatever you change... Just don't mess with others, if you don't know.