Perhaps it would help if I explain a bit what these two file formats are, as .stp and .urdf can not be used interchangeably, as they are very different formats made for different purposes.
- URDF stands for universal robotics Description format, which is a xml based file where you can describe your robot. Which elements or sensor it has, which parts it contains and what type of joints it has. URDF models are mostly used within the ROS (2) framework. Within this file, you can also assign mesh files to the way it looks, its collision model or physics model.
- STEP (or stp) stands for Standard for the Exchange of Product, which is a standardized format between CAD programs (like catia and solidworks) to share 3D models with. One of the main features is that all features are retained, and assembly information is included as well (like with links/arms ect.). It now sounds perhaps a bit more similar than what an urdf is, but a step file is purely visual and doesn't contain anything in terms of collision or physics (at least what I know of). Also it is made as a standard for CAD programs but not simulations like Gazebo.
So as of your question, I am close to sure that you can not use .stp as is in Gazebo and you'll need to convert it to either an URDF or SDF (the latter is gazebo's standard). That can be either done by finding an step-urdf or step-sdf converter online, or by exporting each part as a mesh file (.stl or .dae) and importing them manually into the urdf yourself.
For a massive multilink robot I would suggest finding a converter if you already have a step file, but for a drone (a quadcopter I assume), the file will be quite simple as that only contains 5 parts (1 body and 4 props). For a reference, you can check the gazebo fuel models for the X3 model, which is in SDF but I'm sure that it will be possible to convert that to URDF easily: https://app.gazebosim.org/OpenRobotics/fuel/models/X3%20UAV