They're misusing the word "step" here: they mean to refer to a "step number," not a "step size." In fact, it says as much in the documentation you link to (emphasis mine):

> Mode="step" means the s= argument **indexes the lars step
           number**, and the coefficients will be returned corresponding
*          to the values corresponding to step s.


As for what steps have to do with Lasso regression, it's because a stepwise algorithm called LAR (Least Angle Regression) is being used to trace out the Lasso solution path.