"Went" is the past tense of "go". He "went to the store" means he walked, or drove, or took the bus to the store. "The store" is a very specific place, but you can also use the word "went" with a general direction. He went across the street. = means he traveled from one side of the street to the other. She went out. = means she left a house or a building and was outside. Your story says that there was "a new set of steps leading on one side up to the house’s deck and on the other, down to the ground". A "set" of steps means there were two stairways. The sentence says that one stairway goes upwards to the house's deck, and the other goes downwards to the ground. "He went down" means he choose the stairway that went downwards to the ground. "Winding between" means that the path wasn't straight. Examples... The stream is winding through the forest. = means the stream isn't a straight line. It turns left and right in a random way. The vine is winding up the stone wall. = means the vine isn't growing in a straight line. He went down, winding between two houses. = means he was traveling downwards and he had to turn left and right because the path wasn't in a straight line.

Karl's answer is good. Here, where I live "a set of stairs" technically simply means "more than one step". That is, almost all stairs you have seen are a set of stairs; a collection of multiple stairs, steps, treads and risers, forming a line. I would take even "two sets of stair" to usually mean one after the other, that is, still a single path.

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