Indeed as Doc says, it was Wat Sok Pa Luang, more commonly written as Wat Sokpaluang or, in Lao, "ວັດໂສກປ່າຫຼວງ". Sokpaluang is also the name of the suburb or region of Vientiane where it's located. The Wat is apparently also known as "The Jungle Temple".
Sadly, in answer to the part of your question If it still exists? and according to reviewers on TripAdvisor, the answer is no because it burned down in a fire in June 2013. I haven't found anything yet on whether it's being rebuilt or opened elsewhere.
I haven't found up-to-date pricing yet but here is pricing from 2011 thanks to somebody's travel blog:
The Wat Sok Pa Luang herbal sauna and traditional massage is open to the public from 1-8pm daily. It costs 15,000 kip ($1.90 US) for the steam room and 35,000 kip ($4.45 US) for an hour massage. Lao nationals pay 30,000 ($3.80 US) kip for the same combo.
(I've updated the exchange rate but it's practically the same.)
It's hard to find on Google Maps due to the variety of ways Lao can be written in the English & French alphabets. But I've managed to locate it with the help of the directions in some of the blog posts on the temple. You could walk there in about 45 minutes by heading south where half the embassies are located and turning left into a road that has the same name as the temple but apparently lacks a street sign. Obviously you could get a tuk tuk there more quickly and very cheaply too. It's actually very close to the German Embassy, so you could just head there and then find the temple:
OpenStreetMap is also more helpful than Google Maps in this case.