We use tunable laser based Angle Resolved Photoemission Spectroscopy to study the electronic structure of the multi-band superconductor, MgB2. These results form the base line for detailed studies of superconductivity in multi-band systems. We find that the magnitude of the superconducting gap on both sigma bands follows a BCS-like variation with temperature with Delta0 ~7 meV. The value of the gap is isotropic within experimental uncertainty and in agreement with pure a s-wave pairing symmetry. We also observe in-gap states confined to kF of the sigma band that occur at some locations of the sample surface. The energy of this excitation, ~3 meV, is inconsistent with scattering from the pi band.