A sauna or steam room was a room or structure, which was heated to a very high temperature, so its occupants could sweat and relax. The Cardassian sauna was a variety of this.
When confined to the catwalk of Enterprise in 2152, Malcolm Reed asked Chief Engineer Tucker whether he could build a shower, to which Tucker sarcastically replied if he'd like a sauna as well. (ENT: "The Catwalk")
While playing cards with his band one night, Vic Fontaine recalled a story about Dean Martin and Frank Sinatra, which Fontaine revealed mid-story "…but this time he's switched all the robes in the steam room. So when Dino goes to pick up his robe, he doesn't realize that across the back, Frank has printed in big bold letters…", but did not finish, as he was interrupted by Ezri Dax. (DS9: "It's Only a Paper Moon")