Heh, if you just want the setupd like that with the vid behind, the easiest thing is to edit the video, get stepmania, put the video as background so it shows while you play, and playing while recording the thing.
You might need a rather strong pc tho, 'cause handling stepmania+video decoding+recording at the same time might be hard on your cpu (I'd say a dual core might be needed at least).
Another thing is just playing stepmania and recording that, then keying the thing on your video in vegas (you could use a black background with luma keying, for example).
Or you could take a simple gif arrow and manually animate the whole thing from scratch...