Selecting Practice Mode from the Main Menu will show you this screen. Here you will be able to select the song and difficulty you want to practice on.

Group: Choose the group of songs that contains the song you want to practice on.
Song: Choose the song you want to practice.
Type: Choose the type of steps you want to practice (Single or Double).
Steps: Choose the difficulty you want to practice.
Action: Choose the action to perform using the values selected above.

Once you have selected everything, press ENTER or the START button on your dance pad to continue.

This screen looks very similar to the Edit Mode screen. It is also made to work the same way. Press F1 to display a list of commands to use on this screen.

Up / Down: Move the cursor up / down.
PgUp / PgDn: Jump one full measure up / down.
Home / End: Jump to the first / last beat of the song.
Shift + Up / Down: Select a specific part of the song (or region) you want to practice.
Left / Right: Zoom in / out. This also works as speed modifiers while playing the song.
Enter: Play the selected region of the song.
P: Play from the current beat to the end of the song.