Here in the Americas, a sauna refers to an enclosed room that has a stove that heats the room. They tend to be very dry, and very hot, but good for your pores and lungs. Some places will put rocks on top of the stove, and let you pour a bit of water on them to generate steam.
If you're REALLY adventurous, you put the sauna on the edge of a lake and drill a hole in the ice. Go out to the sauna, get super hot and sweaty, and then jump into the ice cold water!
What I see there? We call that a "hot tub." Which is a great way to end a day of skiing. You're all exhausted, legs are sore, and you sit in the hot water and it feels AMAZING!!!
Yes, @ddrfr33k we had all that here to, exactly as you described. EXACTLY. The only thing - i could not make any good photos or video there - it was to humid, much steam, and lenses get covered in 1/10 sec by water if brought from outside. So I have included only 3 static photos in this clip, see them at (00:53-01:04)
After that steam sauna - we got all into "hot tub", where I could do video capturing easily
Ah, that makes more sense.