Allow the beef fillet to come to room temperature. Preheat the oven to 120°C, gas 1.
Add the oil to an ovenproof frying pan and heat over a high heat. Add the beef and brown it well on all sides.
Season with salt and pepper, transfer to the oven and cook for 20-25 minutes, or until cooked to your liking.
Meanwhile, crumble the blue cheese into a bowl. Peel and roughly chop the garlic. Purée the garlic in a blender with the mayonnaise, yoghurt and lemon juice, season with salt and pepper and season to taste.
Remove the meat from the oven and leave to rest for about 5 minutes.
Cut the baguette rolls in half horizontally, spread both halves with the garlic mayonnaise and cover the bottom halves with lettuce leaves.
Cut the beef fillet into 4 steaks, place one on each roll and sprinkle with blue cheese. Top with the spinach and replace the top halves of the rolls.