"We don't step into the building."
Translation:Mi nem lépünk be az épületbe.
It's correct, but it emphasises the verb:
We don't step into the building (... but fly in through the windows.)
I don't think it is the best answer, if we refer the lesson's Tips Notes:
''In addition, the particle follows the verb when there is negation or in questions with question words: Nem mész el. ‘You do not go away.‘ ''
Therefore, in our sentence, I think the correct answer is displayed.