Found it, thanks Foxton
It's the same sauna (there are two programmes on ch5 catch up)
As much as I hate prostitution I've a soft spot for Cath and her ladies. I lived in the same street that all the brothel are (in a pub, there are no houses) and it does hark back to a different time when madams looked after the ladies and pimps and trafficked women were unheard of.
There is a police station close by (closed now) which turned a blind eye, happy the women were off the street.
I doubt many modern brothels are like this though, it does give a homely sheen to a vile industry.