I found the answer from a 2.5 year old post. I have to run the ENBInjector.exe before starting the game. This should be listed in the STEP instructions found here https://wiki.step-project.com/ENBoost#Recommendations
Hi, I've been having problems with the wrapper version. It worked, then it stopped and I'd ctd. I tried quite a bit, but to no avail. I now have the injector version and skyrim is running fine. However, how do I know it's actually working? The wrapper version presents the load message when the game starts, but I don't have it with the injector version. Any ideas would be appreciated.