Learn Spanish (Latin America): Prefiero el sendero que es más empinado.

Preferir is a stem-changing verb. In the present tense, the second e changes to ie for most forms, including the "I" form. So, "I prefer" becomes prefiero.

Is que used here to mean "what"?

No, in this sentence que means "that" or "which". It connects "the trail" (el sendero) to the description of the trail (es más empinado). You can tell it is not a question word because it does not have an accent mark (qué).

Why do we use es instead of está for "is steeper"?

We use es (from ser) because being steep is a permanent, physical characteristic of the trail. We use ser for descriptions and inherent traits, whereas estar is used for temporary states, emotions, or locations.

Why does Spanish use two words (más empinado) for "steeper"?

English often adds "-er" to the end of a word to compare things (steep becomes steeper). Spanish does not use word endings for this. Instead, you use the formula más (more) + adjective. So "steeper" is literally "more steep" (más empinado).