Experimental support is found for the multiband model of the superconductivity in the recently discovered system MgB2 with the transition temperature Tc = 39 K. By means of Andreev reflection evidence is obtained for two distinct superconducting energy gaps. The sizes of the two gaps (Delta_S = 2.8 meV and Delta_L = 7 meV) are respectively smaller and larger than the expected weak coupling value. Due to the temperature smearing of the spectra the two gaps are hardly distinguishable at elevated temperatures but when a magnetic field is applied the presence of two gaps can be demonstrated close to the bulk T_c in the raw data.