Peggy Loves Al, Yeah Yeah, Yeah - S2-E17
Other mistake: When Bud goes upstairs with his fake bag of "Valentines" (actually a bag filled with bottles), Kelly begins to look through some from her bag. Behind her, you can see David Faustino (Bud) purposely moving slowly up the stairs because Christina Applegate (Kelly) is about to find the envelope that is addressed to Bud.
Answer: It's implied that Steve filed for divorce since in s04e16, "You Gotta Know When to Hold 'Em", Marcy says that Steve is suing for alimony. Alimony is something that has to be requested when filing for divorce. Although the show doesn't spend time on the actual legal proceedings of their divorce.
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