In Game Maker and ENIGMA, a step is an event execution cycle performed each frame. The number of steps occurring every second is defined as the room_speed. The default room speed is 30. This means that by default, a step is executed every 1/30 of a second. The screen is also redrawn each step.
Every step, certain variables are updated, objects are moved according to their speed and direction, and then the relevant events for objects are performed. Around the Draw event (one of the last events), the game screen is redrawn with all the newly calculated positions and animation subimages and/or custom drawing. A few more events (such as the End Step) are performed, and some final calculations are made. Then that step finishes.
This whole cycle continues to repeat from game start to game end.