Using a sauna has certain advantages over sweating from a workout. The difference may be slightly different but a difference nonetheless. Dry heat sauna is actually different from traditional sauna in just the way that the heat is used. Traditional saunas usually have heaters with volcanic or other kinds of heat stones on top, on which water is poured unto to create steam and heat. In a dry heat sauna, there is no water to pour on the rocks gather at the top of the heater. In fact, a dry heat sauna may not have rocks over the heater if the owner prefers it. This difference means that in traditional saunas there is steam while in a dry heat sauna, there is none.

Benefits

Like everything else, there are benefits and advantages of using a dry heat sauna over a traditional sauna. The primary dry sauna health benefit is the lack of steam. Although, the steam in traditional saunas is believed to accelerate perspiration, the lack of it can actually act faster in achieving the perspiration. The reason for this is that steam can actually also help to cool down an individual. Steam is after all made from water which has a cooling effect. In a dry heat sauna, where the heat is all alone without any steam, the heat directly affects the individual and sweating is achieved in a shorter time compared to the traditional wet sauna.
 

Source: http://www.fitness-equipment-health.com/dry_heat_sauna.html