Building an outdoor steam room is simpler in some ways than making a steam room indoors. You can worry less about the materials of your walls and steam escaping, because escaping steam won't cause any damage. However, the key to a good steam room is to trap as much steam inside as possible, so you want to take some care in trying to create the most airtight enclosure that you can for the greatest effectiveness.
Construct four walls and a ceiling. Use wood. It should be tall enough for you to stand in comfortably, but no higher than eight feet. The ceiling should slope to allow water condensation to run down it.
Line the inside of the structure with a waterproof substance, such as fiberglass. Unless you have built a very sturdy permanent structure, avoid using glass or tile, due to the weight. The fiberglass will help keep steam in.
Construct benches. Benches can be crafted with wood and should not sit flat, but should slope slightly downward to prevent accumulation of water.
Attach a door. The door will be the biggest source of steam escaping from your steam room. Use weather stripping around all side for an airtight fit.
Install a stove. Place large rocks on top of the stove. These will heat up to roughly the temperature of the stove. Add water to the rocks regularly and they will maintain a nice steam in the room.