The specific answer (revealed under the video below) really doesn't matter. In the John Buchan 1915 adventure novel from which Hitchcock borrowed the title and hero's name but little else, the 39 Steps refers to a specific location in Scotland where 39 steps lead down to the ocean. I read the novel as a teenager but don't recall details. I hated the 1959 color remake because it copied the original scene for scene but extremely poorly. The 1978 and 2008 versions go back to the book and I need to check them out.
Needless to say, do not read further unless you have seen the 1935 original. You can watch it online right this second if you subscribe to Netflix. A high quality six-part download starts here on Youtube. The last seven minutes that include my favorite movie scene and favorite moment are in the video below.
Let's back up. Many of these blog ramblings are about what films impressed me when I was young, because those happy times turned me into the raving cineaste who continues to watch away his life. Not a complaint, but that's who I am. I first saw The 39 Steps in 1964 when I was a senior in high school. I saw it in the small movie theater inside the University of Wisconsin student union in Madison. Though not yet a college student, anyone could walk in to see the films. Both my mother and father had attended the U. We lived about one mile from the western edge of the University and five miles from the student union on the eastern end, and I was comfortable going there on my own.
I had long been a Hitchcock fan from his 1955-1962 Alfred Hitchcock Presents TV show. I had lived through a solo theater viewing of Psycho (1960) when I was 14, and had seen The Birds first run in a theater only recently. However, I had never had the chance to see The 39 Steps or any of his other early films. They did not show British films on TV in those days. No video, either, though it's hard to imagine those dinosaur days before VHS came into common usage around 1980. Few film books had been written either. I had William Everson's "Classics of the Silent Screen" (1959) but his "Films of Laurel and Hardy" was not published until 1967.
I mention the dark ages of film scholarship and accessibility to explain one simple fact: when I walked into The 39 Steps screening that memorable evening, I had absolutely no idea what the film was about! I only knew it was an Alfred Hitchcock film about an innocent man on the run, pursued by both the police and a spy ring. I assume I knew that much, but I had read nothing more. The time, location, setting and viewing age can all affect one's reaction to a great film. Watching it for the first time today on Youtube you can see how good it still is, but you can't possibly share my emotional response.
And what are the 39 Steps? Mr. Memory answers Richard Hanney's question from the audience: "The 39 Steps is an organisation of spies, collecting information on behalf of the foreign office of ...." A bullet cuts short the revelation.