Perhaps I can elaborate a bit more on what this term signified to Nietzsche... it's a very important part of his philosophy, and it's sort of a compelling notion.

If I understand correctly, a free spirit in the Nietzschean sense is a person who is free of all prejudice and assumption. Someone who can see things from any way and isn't bound by any of them.

Here, this is a definition of a free spirit that I found in a commentary to Beyond Good and Evil:

"Someone who has the flexibility of mind not to be caught up in any one point of view or dogma. A free spirit looks at the world from many different perspectives, uncovering the prejudices and assumptions that underlie any particular point of view."

I figure that pretty much explains it.