Because you cannot use timers or counters, you need a substitute for a counter. Use a "word address" N7:0 as a Step or Position Pointer. Each time your Step Switch I:000/3 goes ON, ADD 1 to N7:0. (Math instructions were not forbidden)!
Use comparison instructions (<, =, >, LIM) to turn on the Pilot Lights when N7:0 = Step Number.
When I:000/3 is ON, use a One-Shot ONS B3:0/0, and Add 1 to N7:0
When N7:0 = 1, OTE O:000/05
When N7:0 = 2, OTE O:000/04
When N7:0 = 3, OTE O:000/03
When N7:0 = 4, OTE O:000/02
When N7:0 = 5, Do Nothing: OTE B3:0/1
When N7:0 = 6 OR I:000/06 is ON, Move 0 to N7:0