Direction pins are either 5V and 0V corresponding to each direction (you can specify in the setup which corresponds to + and -).
Step pins sit at one voltage and briefly "pulse" to the other before switching back. When this happens, the motor takes one "step" of rotation - just imagine pressing a button to go one "bump" of movement only. These are timed to produce coordinated motion and acceleration - imagine tapping these same buttons in rhythm like the old Etch-a-Sketch toy and you've got the idea.
The step pulse is too fast to see with an ordinary voltmeter.
Some parallel ports only put out 3.3V for high instead of 5V, which is a problem for certain breakout boards depending on their electronics.
Just fake the inputs to the BOB with some wires and a 5V supply; you'll immediately find out whether the issue is downstream (motors, drives, BOB) or upstream (port and configuration).
Good luck!
-Dave Kowalczyk
Author of TurboCNC --> http://www.dakeng.com