The Collaborative International Dictionary of English v.0.48:

m'enage a trois \m['e]`nage [`a]` trois"\ (m[asl]`n[.a]zh" [.a]
   trw[.a]), n. [F., household for three]
   1. A relationship involving three people, especially one in
      which three people live together and have sexual
      relations, such as a married couple and a lover of one of
      the pair.
      [PJC]

   2. A single sexual encounter in which three people
      participate.
      [PJC]

   3. [figurative] An unlikely situation in which a group of
      three people not normally associated with each other
      participate in an activity together.
      [PJC]

            For the first time in World Championships history,
            two racers shared the first-place gold medal. Maier
            and Kjus arm-in-arm on the podium, with Austrian
            Hans Knauss just .01 seconds back from making it a
            menage-a-trois.
                                                  --Andrew Hood,
                                                  in

                                                  (http://classic.mountainzone.com/ski/worldcup/99/worldchamps/superg-m.html)
      [PJC]

WordNet (r) 3.0 (2006):

menage a trois
    n 1: household for three; an arrangement where a married couple
         and a lover of one of them live together while sharing
         sexual relations