There are some one-click-solutions like suggested in above posts, but if you want to have more control over design and details, you need to build each elements of the stair separately I'm afraid.
One quick example. See attached skp for details. I named a couple of plugins in  here but they can be substituted with many other good tools.
1. create steps. [1001tools' "create stair" tool]. Leave handrail diameter "zero" because you only need them for guidelines. I made the inner guideline by creating another stair of smaller diameter. Helix tool can also be used.
2. Weld guidelines (crucial!) [Weld].
3. Created curved underside from two guidelines and a straight curve (weld two edges). [TIG's extrude edges by Rails]
3. Created handrails of a fancy profile. [1001tools: Extrude selected profile along selected path]
4. Intersected a cylinder with steps and created an inner wall.
5. Intersect cylinders with guidelines and steps; created stringers.
6. Put them altogether and clean up.