A sauna has less humidity than steam does. When you are inside a sauna, it almost seems as if the air is dry, but when in the steam room you can see the moisture in the air, and you can see it rest upon your hair and skin.
Think of a kettle, when it comes to boil, steam billows out. That is steam: that is what is in the steam room: but obviously not at that temperature all the way throught!
Lots of reading on this:
http://www.divapor.com/health-articles.php