means a small heated room or building where steam or dry heat makes you sweat, used for relaxation and cleansing.

from Straight from Finnish — "sauna" is one of the very few Finnish words to travel the world intact. It traces back to older Finnic and possibly proto-Uralic roots, where it may originally have described a pit or earth-bath dug into the ground and heated with stones, long before the wooden cabins we picture now. The Finns kept the word; everyone else just borrowed both it and the sweat.