What would be the optimal index creation for this horribly written sql in a third party app that I cannot change?

Question

SQL:
       SELECT *      FROM ORDERS WHERE ORDERNO = {STR} AND ITEMNO = {##} AND STEP = {##}

Answer 1

That's almost certainly the wrong question.  You don't want the index(es) that will optimize that single query.  You want the index(es) that will optimize your system as a whole.
The absolute best choice for that query would be a clustered index on ORDERNO, ITEMNO, STEP.  But each table can only have one clustered index so you would have to drop any clustered index you currently have and then create the new one.  But creating
or dropping a clustered index can be time consuming on a large table.
So in the absence of any other information, I would recommend trying a nonclustered index on ORDERNO, ITEMNO, STEP.  That will be faster to do and faster to drop if you decide it's not helping.
Tom