Some journalists are happy to knock on the doors of strangers. I was never one of them, but Christopher Steele, the ex-British spy behind the infamous Trump dossier, left me no choice. During the 2016 presidential campaign, Mr. Steele had been hired by an investigative firm called Fusion GPS to gather dirt about Donald J. Trump and Russia. The firm’s founders, two former Wall Street Journal reporters, made it clear they would not talk to me for a book I was writing about the business of private intelligence. So on an early summer morning in 2019, I arrived at Mr. Steele’s home in Farnham, a picturesque English village.