A very peculiar feature of the recently discovered superconductor MgB₂ is the multigap nature of the superconducting state, which is now commonly accepted in the scientific community and confirmed by a large number of experiments. We report a systematic scanning tunnelling spectroscopy (STS) study performed on high quality thin films of MgB₂. Electron microscopy images and STM topography together with the STS investigation allow a direct correlation between tunnelling direction and the observed tunnelling spectra, confirming that the two-gap state is intrinsic to MgB₂.