When you boil water you produce water vapour otherwise known as steam. Steam in its pure form is clear, however when it mixes with cooler air it starts to condense and this is the condition, when it is visible, that most people associate with steam.
Filling a shower with steam increases both the humidity and the temperature. Humidity is the key to heat sensation – the higher the humidity, the hotter you will feel at the same temperature. This is why a steam shower will feel hot at 40ºC, whilst a dry sauna needs to be 70-80ºC to feel as hot.