We present a detection of a broad Ly-alpha absorber (BLA) with a matching O VI line in the nearby universe. The BLA is detected at z = 0.01028 in the high S/N spectrum of Mrk 290 obtained using the Cosmic Origins Spectrograph. The Ly-alpha absorption has two components, with b(HI) = 55 +/- 1 km/s and b(HI) = 33 +/- 1 km/s, separated in velocity by v ~ 115 km/s. The O VI, detected by FUSE at z = 0.01027, has a b(OVI) = 29 +/- 3 km/s and is kinematically well aligned with the broader HI component. The different line widths of the BLA and OVI suggest a temperature of T = 1.4 x 10^5 K in the absorber. The observed line strength ratios and line widths favor an ionization scenario in which both ion-electron collisions and UV photons contribute to the ionization in the gas. Such a model requires a low-metallicity of -1.7 dex, ionization parameter of log U ~ -1.4, a large total hydrogen column density of N(H) ~ 4 x 10^19 cm^-2, and a path length of 400 kpc. The line of sight to Mrk 290 intercepts at the redshift of the absorber, a megaparsec scale filamentary structure extending over 20 deg in the sky, with several luminous galaxies distributed within 1.5 Mpc projected distance from the absorber. The collisionally ionized gas in this absorber is likely tracing a shock-heated gaseous structure, consistent with a few different scenarios for the origin, including an over-dense region of the WHIM in the galaxy filament or highly ionized gas in the extended halo of one of the galaxies in the filament. In general, BLAs with metals provide an efficient means to study T ~ 10^5 - 10^6 K gas in galaxy halos and in the intergalactic medium. A substantial fraction of the baryons missing from the present universe is predicted to be in such environments in the form of highly ionized plasma.
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