First, you have to place the wall correctly under the staircase. The edges of the wall should be aligned to the edges of the stairs.
Then, select the wall of target, and the stair as operator, and use the "Subtraction with upwards extrusion" command.
If it doesn't work, it's probably because yours wall is not placed properly, do a zoom in and check to see if the wall and stair and really aligned. Sometimes a small gap can ruin things.
