We report magnetic field dependent magnetization and microwave impedance measurements on a MgB2 superconductor prepared by high pressure synthesis. We find that the upper critical field is linearly dependent on temperature near Tc and the dc irreversibility field exponent is ~1.4. The microwave data display an excess surface resistance below Tc which is neither observed in low Tc nor in high temperature superconductors (HTSC). The real part of the complex conductivity, sigma1, shows a huge maximum below Tc and the imaginary part, sigma2, is linear for temperatures less than 20 K, which can not be simply accounted for by the weak coupling BCS model with an s-wave superconducting order parameter. We speculate that this may be due to the two gaps reported by other studies. Unlike measurements on the high temperature superconducting cuprates, we find no evidence of weak-links in the superconducting state. By inverting the magnetic field dependent impedance data, we find a vortex depinning frequency that decreases with increasing magnetic field and evidence for an anisotropic upper critical magnetic field.