Translation:The final question is the most difficult.
So then, "più difficile" is "more difficult" while "la più difficile" is "the most difficult".
Tricky when it is basically the same word. In English the suffixes "-er" and "-est" are commonly used to show relative relationships (hard/ harder/ hardest, for instance). Not that "more" and "most" is any easier to explain in English.
I believe the "la" piu refers to domanda- feminine. In english when you compare more than two things we use most or ...est. when we compare two things we use more or ..er. In this case " final question" is one of many questions so you are comparing more than two things therefore we say "most difficult". Does that make sense?