The discovery of superconductor in magnesium diboride MgB2 with high Tc (39 K) has raised some challenging issues; whether this new superconductor resembles a high temperature cuprate superconductor(HTS) or a low temperature metallic superconductor; which superconducting mechanism, a phonon- mediated BCS or a hole superconducting mechanism or other new exotic mechanism may account for this superconductivity; and how about its future for applications. In order to clarify the above questions, experiments using the single crystal sample are urgently required. Here we have first succeeded in obtaining the single crystal of this new MgB2 superconductivity, and performed its electrical resistance and magnetization measurements. Their experiments show that the electronic and magnetic properties depend on the crystallographic direction. Our results indicate that the single crystal MgB2 superconductor shows anisotropic superconducting properties and thus can provide scientific basis for the research of its superconducting mechanism and its applications.