The ac nonlinear dielectric response $chi_3(omega,T)$ of glycerol was measured close to its glass transition temperature $T_g$ to investigate the prediction that supercooled liquids respond in an increasingly non-linear way as the dynamics slows down (as spin-glasses do). We find that $chi_3(omega,T)$ indeed displays several non trivial features. It is peaked as a function of the frequency $omega$ and obeys scaling as a function of $omega tau(T)$, with $tau(T)$ the relaxation time of the liquid. The height of the peak, proportional to the number of dynamically correlated molecules $N_{corr}(T)$, increases as the system becomes glassy, and $chi_3$ decays as a power-law of $omega$ over several decades beyond the peak. These findings confirm the collective nature of the glassy dynamics and provide the first direct estimate of the $T$ dependence of $N_{corr}$.