The coal is in the room where you killed Fergus the torture master at the start of the game.
You do not loose experience points taking the stairs, you just do not get any. Blowing the place up involves more work, and is not obvious without seeing it in the forum, so gives experience points.
Did you install the latest
patch? In earlier versions there was a problem, predominantly under Windows 98, which required the resolution be switched to 640x480 to get by the video during the act change.