Cherchez la femme. Literally: look for the woman. Grammatically, this is an imperative, from the verb chercher (search, look for). The context is generally one where someone is behaving strangely, and the likely explanation is that that person is trying to impress a woman or to hide an affair with a woman.
The sentence became proverbial after it was used by Alexandre Dumas in Les Mohicans de Paris (I didn’t know that).
The sentence doesn’t quite have the special recognition in French as in other languages, because in French, this is an ordinary sentence, which might not always be perceived as a quote. Nonetheless, cherchez la femme remains more common than cherchez l’homme (“look for the man”), so it does see some use as a set phrase.