A woman named Chloé remembers a trip she took to Finland before fleeing to St. Martin. She went to a snow hotel, and stayed with two woman she met on the train: Casey, from Texas, and Kate, from Australia. There are ice carvings everywhere at the hotel, from spirits to snow monkeys. The owner is named Matti Kokko, and he did all of the ice carvings. He also built a sauna on the property, and he says that they must not wear any clothing in the sauna, because it is dangerous for the skin to not be able to sweat.
While at the hotel, Chloé meets a strange woman staying there whose name is Anna. She speaks with a strange accent, and does not have any goose bumps despite having just swam in the water. At breakfast with Kate and Casey, Chloé theorizes about who Anna is, and the three decide she might be a cop. Casey reveals that she sat in the sauna with Anna, who asked many questions about Matti. Casey says that Matti used to have a wife in Australia. She also says that Anna was trying to make sexual advances in the sauna, until Matti showed up right as they were leaving.
A few days later, Chloé still has not taken a sauna, because Matti is always there and she does not want to take her clothes off in front of him. Kate and Chloé are eating when Matti approaches them, revealing that Casey had checked out and left a note saying she was going to Spain, and Finland was not for her. Kate tells Chloé that she recognized Matti's name, and asked her mother who is a newswoman about him. Ten years prior, Matti's wife had disappeared. A year later, her body was found at an expensive downtown condo that had belonged to a couple who had gone missing three years prior, and her body had been taken apart. Matti had been fully cleared in the investigation.
Later that day, Chloé walks down to the sauna and finds Anna there. Anna insists Chloé join her, and she wants Chloé to sit on the upper bench with her. Anna touches Chloé's thigh and behind her neck, and the sweat disappears from where she touches. Suddenly, Matti bursts into the sauna. He drags Chloé away from Anna, putting her on the lower bench. He pulls Anna by the arm, and her skin peels off. Matti pulls out a lighter, and Anna grabs it from him, also pulling three of his fingers off. Matti urges Chloé to get the lighter while Anna is distracted by his wound, but Chloé cannot. She lights a towel on fire with the sauna burner, and flicks it against Anna. Anna's skin disintegrates. Matti tells Chloé to run, and says Anna will tear her apart like she did his wife. Anna rips out her spleen, saying it was Matti's wife's spleen, but that it is not right. She pulls out Matti's spleen to replace it, and says to Chloé that she wants to be like them.
Chloé runs, and grabs the propane tank from outside of the sauna. She brings it back inside the sauna, where Anna is rummaging through Matti's body. Chloé grabs a lantern from outside and throws it into the sauna, then holds the door closed from the outside until the sauna blows up. She watches Anna burn, and Anna just stands over Matti's body and watches her with fascination as she does.

Chloé has fleed to St. Martin, and she is sitting at a bar, watching an American family through the mirror behind the bar. Everyone is sweating in the heat, but she cannot see sweat on the children, which makes her nervous. The boy pins a gecko to the wall with his finger, but it escapes. Chloé wants to see if her lighter works in the humidity, but resists the urge to try it. Instead, she holds her pocket knife. The bartender brings over a little snowman carved from ice, and Chloé thinks about how its limbs are dry and perfect but forces herself to stop because she must not think about it when the girl is watching. Chloé realizes that the boy is twirling the gecko's tail in his mouth like a toothpick. The parents are scared and their faces are full of dread. The girl is standing next to Chloé, and she starts to squeeze Chloé's thigh hard. The girl says they learned so much from Chloé, and are so close to understanding.