I can add, though the idea has been introduced already, that some TV's have an audio/visual lag (which can be different between video and audio) which can add to the frustration of beginners when they don't seem to be hitting notes, when they're "reacting" to the arrows and then there is lag on the part of the TV too.
This strengthens the case for most beginners hitting the arrows earlier than they "think" they need to hit them to start hitting notes and getting the scores they "deserve!"
Some console DDR games have the option to calibrate "lag" like this, which is an option present in every Guitar Hero game since the original. As for audio vs. video lag in these games if those seem to be different - where any lag calibration is available in a console DDR game, calibrate it to whatever sense you prefer to play with - if you're very visual with arrows, set it to align with video response. Likewise, if you get your sense of rhythm primarily through the music, set it to align with audio lag. You will probably do this naturally as you set it to when you "want to" hit the arrows!
Not all DDR games have this option, but check Options or Settings in your game to see if you can "calibrate lag" like this. If not, you'll just have to adapt by stepping "even" earlier than other answers have suggested to compensate for the lag that seems to be present in most current TV's!