Thanks, ladyalex, you got it, confirmed by wikipedia. As far as I know the literal meaning is spirit of the stairs, which seems a longish way from the clue. Guess you've got to find yourself a Frenchman.
I think the idea is that you don't think of a clever/smart/stinging retort until you are on your way out of the building, on the steps, and then it's too late.
(And I bet we've all had those moments! When we think "What I *should* have said is ...." !!!!