When you right-click on the job and select 'Start Job', you'll be able to choose the step you want to start, if it's a multi-step job.

Note that the job will start at the step you specify and run any steps after that depending on the on success/failure flow for each step. You can't run just one step without disabling that flow first. For example, if the job has 3 steps and you only want to run the first one, you'd have to disable the on success/failure flow for that step so it wouldn't run steps 2 and 3.