Step Input (STP) PWM output at the Duemilanove.
No you don't feed the step input with PWM, just with pulses every time you want it to step.
Write a simple loop to toggle the output pin connected to the step say 50 times with a 200mS delay between each step just to test that it moves. Then delay for three seconds and repeat.
The micro steps inputs should be left unconnected for the moment.
The Direction input should be wired to an arduino output and held at one level, depending on the direction you want to go, and the enable should be connected to ground.