I was in the sauna and this old guy came in and threw some strange water in the boiler thing?

It was probably some Eucalyptus oil mixed with water. I've seen this done often in the steam room. It smells a lot like Vicks chest rub, which has Eucalyptus oil. You should be able to pick this up in the Health Food Store. Get the real thing if you can. Be careful, though. The concentrated oil is poisonous if you swallow it.