How should I wire this sauna heater?
The diagram gives you three possible wiring options depending on your power system. The top one is for 415V three-phase (star), the middle for 240V three-phase (delta), and the bottom one for 240V single phase.

In a normal house the bottom one is what you want. Basically connect all the N terminals together, and all the L terminals together and those are your N and L points.

Note: the lower two diagrams are the same physical connectors as the top one - they just omitted drawing in the connection 7 that not used for the lower two diagrams.