Hey Guys and Gals,
Thanks for the helpful responses. I e-mailed the person that sold me the milling machine. He had some great suggestions that helped me isolate the problem. First I switched the wires from the control box to the stepper. Same problem. Then I switched the stepper motor (no small feat because of the couplings). Turns out I have a bad stepper motor. I have tried to take it apart and work on the wiring... no such luck. Look out eBay - here I come.
Steve