\begin{enumerate}[\textit{Step} \itshape 1 :]
I want italic and underline "Step 1". What should I add to underline "Step 1"?
You can do that, if you insist, with the enumitem and ulem packages:
\documentclass[12pt, a4paper]{article}
\usepackage[utf8]{inputenc}
\usepackage[T1]{fontenc}
\usepackage{lmodern}
\usepackage{ulem}
\usepackage[shortlabels]{enumitem}
\begin{document}
\begin{enumerate}[label = \uline{\textit{Step \arabic*:}}]
\item First item.
\item Second item
\item A third item
\end{enumerate}
\end{document}

\textitand\itshape? – cfr Aug 19 '14 at 16:02soulpackage andenumiteminterfere with each other – Abhimanyu Arora Aug 19 '14 at 16:45