steam bath

from The American Heritage® Dictionary of the English Language, 5th Edition.

• noun The act of bathing through exposure to steam, which induces perspiration.
• noun A room or building equipped to provide bathing with steam.

from Wiktionary, Creative Commons Attribution/Share-Alike License.

• noun A room or building filled with steam, in which people sit and sweat.
• noun The act of bathing by exposure to steam.

from WordNet 3.0 Copyright 2006 by Princeton University. All rights reserved.

• noun you sweat in a steam room before getting a rubdown and cold shower
• noun a room that can be filled with steam in which people bathe; `vapour bath' is a British term