Yes it should work.
File, open, change file type to STP select your file then open.
When you are done save it either as a part or an assembly.
if it is a assembly put the STP file in a folder first, SW will create a part for each file.
You can convert a step file to Solidworks (SW), but you cannot just view it as a step file. Click on File, Open, then select Step as your file type, select the file, and SW will automatically convert it for you.
Frank and Walter thanks for the information. I have just found that the STP file I have is also zipped and I am not sure how to unzip it. Sorry if these questions sound trivial but I am an old CAD guy so don't hold that against me:)
if it is just zipped - windows should be able to extract the file for you (right click on the file, and there should be an "extract to" or similar option). if they used some other compression program it can be more difficult.
either way, you will need to extract it before SW can import it.
There is also a program called "STPViewer" available online for no charge. Not sure right now where it is, but using google or Bing should find it.