See Frame Events for a ordered list of the events.
Stepframe is useful in child objects, who don't get enterframe and exitframe events. When a child object needs to recieve events every frame, add it's object to the actorlist. The example below is a custom handler you can call to add an object to the actorlist:
on StartGettingStepframes me add the actorlist, me end
Once the above handler has been called, the object will now have it's StepFrame handler called every frame:
on Stepframe me put "I'm getting a stepframe event!" && the milliseconds end
To stop the object from receiving StepFrame events, delete it from the actorlist like so:
on StopGettingStepframe me deleteone the actorlist, me end
Once the above handler has been called, the object will no longer recieve stepframe events.
Unless you're doing very careful cleanup of your scripts, it's best to initialize the actorlist at the beginning or end of your movie for authoring purposes, like so:
on startmovie me the actorlist =  end
This keeps old objects and duplicate objects from sticking around in the actorlist.