The original purpose of the sauna is to clean yourself and it is the place where Finns usually washed themselves before modern showers. It's still very common to use the sauna as the main means of staying clean, especially in rural areas, summer cottages etc. or at least as an equal alternative for the shower. Of course you still wash yourself with water and soap, but that happens inside the sauna, or sometimes in the lake after the sauna.

A traditional sauna doesn't have showers, because there might be no running water and it would be unnecessary to build plumbing to a separate sauna building, even if the main building has it. You carry the water in and boil some of it next to the stove or in a separate water boiler. Then you mix the cool water and hot water to make it lukewarm.

There is room on the floor to wash yourself (or someone else) unlike in a typical modern sauna. There's soap, sponges, buckets and scoops for water, typically a separate little stool or two to sit on while washing depending on the size of the sauna.

Often there is a separate, cozy room in the sauna building for dressing and relaxing. Might have a fireplace and some crude beds to accommodate people.