A five foot step is a free move you can take if you don't otherwise move. Normally you provoke an Attack of Opportunity (AoO) for leaving a threatened square (not for entering one). This does not occur with a five foot step.
However, actions other than moving can also provoke an AoO. For instance, Sundering a weapon without the Improved Sunder feat, or firing a bow.
The way I handle 5' steps in Conan (I don't have the AE, and this isn't the exact same as the OE), is when you take a 5' step and provoke an AoO for something other than your movement (because a 5' step doesn't provoke for movement), then anybody who can strike you in either square, before or after your 5' step, may take an AoO against you.
E.g. Dextro is armed with bow, but Sinestros is attacking him with an arming sword. If Dextro fires his bow, Sinestros should get an AoO against Dextro for firing the bow. If Dextro moves 30' from Sinestros, then Sinestros gets an AoO for Dextro leaving his threatened area. If Dextro takes a 5' step from Sinestros and fires his bow, Sinestros still gets an AoO. This is different than DnD3 rules for 5' steps.
Note that if Sinestros moved away from Dextro, or if Sinestros sundered Dextro's bow Dextro would not get an AoO, because bows don't threaten adjacent areas, only melee weapons do. Dextro should clearly drop the damn bow and fight with a real weapon. (If Dextro had the feat Improved Unarmed Fighting, he could take AoOs with his unarmed attacks, even while holding the bow.)
Finally, if Dextro took a 5' step, dropped his bow (a free action), drew his poinard (a move action), and stabbed Grippa who was standing nearby (a standard action), then Sinestros would not get an AoO, since none of those actions provoke AoOs.