I had a similar experience when I first went into European sauna, and another, not so similar experience training.

In West/Central Europe, the saunas are coed, and nude. Nowadays they'll even hang signs in the international hotels to keep the prudish Americans from trying to go in wearing a bathing suit. As with your experience, no one cared what anyone else looked like. We were all there to get a good sweat.

100° F is too much for you? Don't go to Houston from May till October, dude. Saunas here are closer to 100°C (usually around 90° C).

Since I have chided you for your lack of "sauna-manliness," I'll share a story that takes me down a peg or three.

When I first arrived here in Austria, one day a week I did aerobics with a coed group. There was only one changing room and shower. We let the ladies shower first, but we got naked together. This was completely new to me and before my sauna experience. There was one voluptuous and pretty girl, Anya, who trained with us. Let's just say being a 20-something guy, there was nothing I could do about my reaction, try as I might. I was lucky that my massive embarrassment kept so much blood in my face that things didn't get worse than they were. Fortunately, after a few weeks I acclimated to the culture and didn't have such a "hard time" with the situation, but I'll never forget the embarrassment that first time.