Flip over a step switch like a fat beetle taking a nap and have a look at the underbelly. 

First of all, you can see from the pin arrangement that this switch can't be used on a breadboard, perma proto, or stripboard due to the pin arrangement. However, the 0.1" spacing means you can use it on a perf board that is a free grid with no problems. You'll need to do point-to-point wiring (or make your own PCB) to hook things up.

LEDs

The top two pins are the LED legs. You'll use a 1K resistor to limit current. The leg labeled "-" goes to ground, while the other will run via the resistor to your digital output pin or PWM.

Switch Common

The switch is a momentary SPDT (single-pole, dual throw). This means the common pins are connected and can be wired to ground.

Throw Pins

The bottom two pins are the throws. You'' wire either the N.C. (normally closed) or N.O. (normally open) throw pin to a digital input pin on your microcontroller to read the state. When the switch is pressed the N.C. pin will change to open and the N.O. pin will change to closed. Just pick one to read and you'll be set!

Here's a view of the pinout from the top.