I think he's using the spawncamping wallhack master theme in that video(not sure.
http://www.flashflashrevolution.com/...d.php?t=141588 ) Another theme you probably wanna check out if you use SM 5 is Transcendence. If you wanna be sure wait for him to answer you or visit his stream(
https://www.twitch.tv/etiennesm) and ask him when you see him online. A good website for themes is
http://sm.ajworld.net/themes/ but i'm not sure how updated it is.
Regarding noteskins i personally like the default one the most. Also, if youre using the very lastest SM i think the noteskins changed(theyre calling 'em newskins if im not wrong). You can get some noteskins at
http://zettbou.co.uk/ . I think the waffles noteskin is pretty good(you can probably find it somewhere in these forums or by googling it).
I think many games use /my documents/games/gamename or %appdata%/gamename for the profile data so it's not rly surprising. If I'm not wrong tho, i think there was a way to make stepmania portable(make it save profiles and all the settings in the stepmania folder). I believe it was done by manually editing some config file with smthing like "portable=1" or similar.
Welcome to Stepmania! You might wanna try playing online at stepmaniaonline.net . You could even ask people you meet there for stuff like this.