When you are having a shower or before you finish a shower, you turn the heat up to very hot (or the hottest temperature your shower can make) and stand somewhere else (within the shower/bath area) to avoid getting burned. This way, when you get out of the shower, the room temperature of the bathroom is nice and warm and not freezing cold.
Sauna shower can be one or two words.
Be right back, going to have a sauna shower.
My friend just had a saunashower. He said it was awesome!