I guess you can't press two directions at one time ? it depends on type of dance pad. This problem shouldn't appear in newer ones connected through usb. Check this site http://www.stepmania.com/wiki/USB_Adapters
If it's an USB dance pad it usually means bad controller or that you need to install additional drivers. There could be some cd along with your dance pad or you should check producer's website. If that fails you should get cash refund.