What steps do I take to marry my fiancé whois not legal here in the U.S.

You can go get a marriage license. I believe they will ask for his and your social but since he doesn't have one they won't have any problem. He can still get a marriage license.

what steps do i take to marry my fiance whois not legal here in the U.S.
If you are a US citizen there should not be a problem..
You need to get a marriage license at the city hall, fill in a form and you can get married.
Has your fiancée been married before ? If so, you need to bring the copy of the divorce papers.

Fairly simple to get married :)