INTEGRAL regularly scans the Galactic plane to search for new objects and in particular for absorbed sources with the bulk of their emission above 10-20 keV. The first new INTEGRAL source was discovered on 2003 January 29, 0.5 degree from the Galactic plane and was further observed in the X-rays with XMM-Newton. This source, IGR J16318-4848, is intrinsically strongly absorbed by cold matter and displays exceptionally strong fluorescence emission lines. The likely infrared/optical counterpart indicates that IGR J16318-4848 is probably a High Mass X-Ray Binary neutron star or black hole enshrouded in a Compton thick environment. Strongly absorbed sources, not detected in previous surveys, could contribute significantly to the Galactic hard X-ray background between 10 and 200 keV.