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Much to his bewilderment, Chicago`s Kevin Anderson is now a Broadway star.

At 29, not long off the stage of the Steppenwolf Theater Company, the Gurnee, Ill., steelworker`s son is playing drifter Val Xavier to Vanessa Redgrave`s Lady Torrance in the Peter Hall new hit revival of Tennessee Williams` ”Orpheus Descending.”

A role like this should be heady stuff for a young actor making his Broadway debut-for many, the triumph of a lifetime. But, for all its thrills and status, the big time has, at least a little, frightened and depressed this hometown boy, who says he still yearns to be back in Chicago with his friends at Steppenwolf.

In fact, his chief concern coming off stage during the first few nights of the run seemed to be less for the fate of the play than for that of the Chicago Cubs.

Leaving the theater for an interview shortly after ”Orpheus”` fourth performance, he was mobbed by autograph seekers as soon as he stepped outside the stage door. But the instant the last autograph was signed, he turned to a newspaper a stagehand had handed him on the way out. It was turned to a piece in the New York Times on the Cubs, and he read it all the way down the street to the restaurant where he was to be interviewed.

”It`s not that I`m unimpressed with Broadway,” he said, once he was finished with the Cubs article. ”It`s just that all the hoopla is blown out of proportion. I mean, it`s literally taken weeks just to get through all the B.S.”

If Anderson speaks with the casual but very direct candor of a teenager, it goes with his boyish good looks. He wears several days` growth of beard for his drifter role, but, as New York magazine noted in a recent article, he

”seems a day out of high school.”

This isn`t to say he`s some smart-aleck, stage version of a Hollywood brat packer. Rather, he seems something of an innocent. Shy, reflexively courteous, he`s neither awed or arrogant. Broadway just isn`t what he expected.

”I was so petrified,” he said. ”I`d never been in a Broadway house before. It took me weeks just to get over the bigness of this whole thing. What it comes down to, though, is that it doesn`t matter. It`s just another street and another play.” He paused to laugh at what he had said. ”You can tell yourself that, but it`s a big deal.”

He was interrupted by the restaurant manager and waiters. A little embarrassed, he accepted their accolades, then ordered a steak, potatoes and- as Richard Burton and John Barrymore never did-a glass of milk.

”There are certain things that come with the whole Broadway thing, that come with performing on Broadway, that I`ve found hard to cut through,” he said. ”It`s just a lot of pressure. It`s been a real trip. An amazing kind of experience. But ….

”I`m not talking about Vanessa. I love working with Vanessa. I mean, I`m just a cornhead from Gurnee, Ill., and I`m up there with Vanessa Redgrave.

”It`s just that New York audiences tend to over-react. You`ve got to deserve that. Chicago audiences are more honest.

”Something can be very successful-Jesus Christ himself could be out on stage-and Chicago audiences would still be like, you know, `It was good.` They always praise things that are good, but they don`t go overboard.”

Anderson`s rise to the Broadway lights was not an overnight phenomenon, but, like such Steppenwolf colleagues as John Malkovich and Glenne Headly, his climb has been steady and swift.

He started acting in high school, doing oral interpretation in weekly competitions. Though no one else in his working-class family of seven had much interest in the theater, he liked it so much that he enrolled in the Goodman School of Drama after graduation and from there went into the Steppenwolf company in 1983. He performed in ”Our Town,” ”Twelfth Night” and ”Three Sisters,” among other of the group`s productions, but his best break came when he was cast as a young man ”who lived in a closet” in the Steppenwolf production of the three-character play ”Orphans.”

This won him a Joseph Jefferson Award. It also took him to New York for an Off-Broadway run of the show at the West Side Arts Theater, and then to London, where he performed in it with Albert Finney.

He filmed a movie version of ”Orphans” with Finney, but the film`s release got caught up in the turmoil of a studio merger, and it played in relatively few theaters.

Still, ”Orphans” established his reputation. He was in London last spring, reading for the new Cameron MacIntosh musical ”Miss Saigon,” when he heard that Redgrave and Hall were putting together an American production of

”Orpheus Descending,” in which she`d been performing in London. After talking to them both, he was given the part of Val-a troubled vagabond who drifts into a small southern town bent on changing his sinful, sorrowful life. Instead, he stirs up trouble, seduces Redgrave, becomes an instrument of her revenge and has a violently tragic end.

Anderson said he hasn`t read the reviews, ”but I get the feeling they were mixed.”

They were. The play, which first opened in 1939, is depressingly dated, treating the South as a cruel, primitive, superstitious society capable of the most bestial acts. Flashbacks and other dramatic interludes are announced through clumsy lighting effects that jarringly darken the stage to a macabre midnight blue. Sound effects and lights are used to depict autos passing by the windows, but instead make the country store in which the action takes place seem a railroad station.

Redgrave certainly gives a bravura performance, and is backed up by such gifted supporting actors as Anne Twomey and Tammy Grimes. Essentially, though, Redgrave is doing what Broadway types would call ”her shtick”-at times slipping into what almost seems a Melina Mercouri impersonation.

All that said, the show is packing them in. There has been an upsurge of interest in Tennessee Williams, with three stage revivals on the bill this season and a television version of ”Sweet Bird of Youth” just come and gone. Redgrave also has evolved into something of a cult figure in New York, much like Judy Garland and Tallulah Bankhead before her.

And there`s the added attraction of her nude scene, which seems to catch

”Orpheus” audiences by surprise.

”It`s not exactly written that way,” said Anderson. ”She just happened to mention, when we were rehearsing, `I`m going to try something, and take my robe off.` It brought the scene into a whole different place for me, so when I thought about it, I wasn`t sure if that`s what Tennessee intended or not. I certainly wasn`t offended at all.”

As for his interpretation of his own role, he said he is still forming it.

”I always feel like I`m just struggling to throw up some basic structure,” he said. ”Hopefully, that will end. It`s very dangerous, I think, to get so consumed with the opening, because then your performance will never grow.”

Anderson-he`s actually Polish and Irish, not Scandinavian; his father changed the name from Andrejewski-gives himself probably at least five or six months in ”Orpheus,” presuming it lasts that long, which it gives every sign of doing.

After that, he`s unsure what he wants to do. He`d like to make some more films-in addition to ”Orphans,” he`s had parts in ”In Country” and other movies-but will try to be choosy.

”It`s never been my ambition to make bad movies.”

He`s living in a loft in SoHo not that much different than his old digs in Chicago`s Lincoln Park area, and has a New York lady friend. ”A city girl,” he said with a happy smile.

But what he`d like most to do is return at least temporarily to the Steppenwolf company, of which he still considers himself a part.

He conceded that he`s grateful to be an employed actor working in a big Broadway show, but added, ”It feels a bit empty. I had a much more fun doing `Orphans` at Steppenwolf.”

He noted that actors had all manner of people telling them what to do-playwrights, directors, agents, critics.

”You need someone you can really trust; that`s why Steppenwolf is special,” he said. ”I think about those guys all the time. I talk to them. A few of them are like my best friends in the world. There`s a love there that`s very difficult to find in commercial theater.”

He said Steppenwolf has an open-door policy toward its alums.

”It`s kind of like, you know, your mom calls you too much and the more she calls the more you don`t call back. Steppenwolf developed this policy where they don`t like to be the old lady calling you every two weeks. They want you to feel like you want to come back and work. You can`t help but want to go back.”