The easy way;
Drag and drop the STEP file into the graphics area of SW ... and hope for the best.
The better way;
Change Files of type to STEP AP203/214 (*.step;*.stp)
Select Options and set as required
Browse to folder and select the file
For more details check the Help files from your version of SW or at http://help.solidworks.com/2010/English/SolidWorks/sldworks/ImpExp/HIDD_OPTIONS_IMPORT_GENERAL.htm
I'm not sure but feel I wrote a macro few months back to convert bunch of step files to SW files. Can't check and update before Monday.
If they are not much in number use Kelvin's method. I usually drag and drop them over SW if I have to open 1-2 files.
I suspect our OP wants to have part files with a complete feature tree.
File translations import dumb solids with no feature tree.
You could try FeatureWorks if you have SolidWorks Professional or above to recognize features.
I suggest to use the easy way, specially if the step file you are working with comes from outside your company. I do not have much experience in setting options for opening step files but as a rule (of my own) I try not to mess with info I may not be sure of, so I drag and drop the files as Kelvin described and let SW to do its magic, hopefully it will turn out ok but from time to time I have trouble with some geometries, then I try some other procedures in search of better results.
If you are talking about batch conversion I think SW does not have that option, I'll look into it and let you know what I find.