I had a good laugh at this one. Apparently you study the same as you do for any other exam, including "Stenography Jeopardy" with your classmates.
I'm not sure how to do stenography exercises on a computer. Even better is recording your hours doing exercises, because "You want your resume to list a large number of hours experience."
http://www.ehow.com/how_2074469_study-stenography-exam.html