This is me in the famous Finnish Sauna In Finland every household has a sauna - or in case of a block of flats, then there usually is one sauna for the whole highhouse. Anyway. This is my host's sauna.
Sauna is a room that you heat up (there are saunas that are heated with wood and saunas that are heated with electricity), preferably 60-80 degrees Celsius (that varies, some people like it even hotter). Then you take a shower (just to get wet, it's not pleasant to be dry in a sauna) before you enter the sauna (naked!). In sauna you just sit and relax and maybe throw some water on the hot stones (to get more heat and steam). Sauna relaxes your muscles and opens your skin pores, which makes you clean from the inside
After a while (when you feel like it) you go to the shower again to get wet and re-enter the sauna. You can repeat it as many times as you want. In the end you shower to wash yourself.
In summerhouses people also have saunas. There it's tradition to make (or buy) a birch whisk with which you beat yourself gently in the sauna. The whisk has the leaves on so it won't hurt.
There are saunas in gyms and swimming halls but there men & women are divided in separate saunas. Otherwise, with friends and family, it's normal to go to sauna together.
Finns even have a Sauna Society!