When you uninstall, SM leaves behind some of the folders, including the screenshot/songs folder, so uninstalling/re-installing does nothing, uninstall the game, then move the folders of the files you need from the remaining SM folder, then delete the SM folder, and finally, install stepmania yet again, thus creating a new SM folder, a screen shot folder will then appear after you take your first screen shot.
Also try installing to somewhere other than program files, such as your desktop.
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