This is a scenic location presumably in the Greater Ankh-Morpork area, which serves as both a scenic beauty spot and a euphemism. The wood from its trees, by all accounts, makes superior furniture and interior building structures, allowing Sir Harry King to threaten to throw somebody down these Effing stairs without any actual use of profanity. Sir Harry is thus enabled to perform a meaningful act of violence without sullying the ears of Lady Effie. Perhaps an, er, Hellstree exists in the forest.
A prominent local resident is the letter-writer and environmental activist, Mrs Evadne Trellis.
That Effing forest becomes a crime (or perhaps a misadventure) location later, as local blacksmiths the Wesley Brothers try to go from steam-kettle to locomotive all in one go - and become merely a waft of pink steam on the breeze. Although dismissing steam as "hot wet air", when in reality it is superheated water vapour that if hot enough and pressurised enough can strip all the flesh off your bones in seconds, was probably one of the little slopes on their particular learning curve.
The name is an obvious parody of Epping Forest, a forest in the suburbs of London which is perhaps better known than it otherwise might have been were it not near the end of one of the several lines of the London Underground.