Cepheids play a key role in astronomy as standard candles for measuring intergalactic distances. Their distance is usually inferred from the Period-Luminosity relationship, calibrated using the semi-empirical Baade-Wesselink method. Using this method, the distance is known to a multiplicative factor, called the projection factor. Presently, this factor is computed using numerical models - it has hitherto never been measured directly. Based on our new interferometric measurements obtained with the CHARA Array and the already published parallax, we present a geometrical measurement of the projection factor of a Cepheid, delta Cep. The value we determined, p = 1.27$pm$0.06, confirms the generally adopted value of p = 1.36 within 1.5 sigmas. Our value is in line with recent theoretical predictions of Nardetto et al. (2004).