We report on tunneling spectroscopy experiments in small grains of the new binary intermetallic superconductor MgB2. Experiments have been performed at 2.5 K using a low temperature scanning tunneling microscope. Good fit to the BCS model is obtained, with a gap value of 2 meV. In the framework of this model, this value should correspond to a surface critical temperature of 13.2 K. No evidence of gap anisotropy has been found.