It has been known for decades that the observed number of baryons in the local Universe falls about 30-40% short of the total number of baryons predicted by Big-Bang Nucleosynthesis, inferred by density fluctuations of the Cosmic Microwave Background and seen during the first 2-3 billion years of the universe (redshift z>2-3) in the so called “Lyman-α Forest". While theory provides a reasonable solution to this paradox, by locating the missing baryons in hot and tenuous filamentary gas connecting galaxies, it also sanctions the difficulty of detecting them because their by far largest constituent, hydrogen, is mostly ionized and therefore virtually invisible in ordinary signal-to-noise Far-Ultraviolet spectra. Indeed, despite the large observational efforts, only a few marginal claims of detection have been made so far. Here I will first review the observational efforts pursued over the past 15 years by several groups and will then present our recent results that show that the missing baryons are indeed found in a tenuous warm-hot and moderately enriched medium that traces large concentrations of galaxies and permeates the space between and around them. The detection of these baryons is hampered by foreground ISM contamination, which is hard to correct for, due to our poor knowledge of inner-shell resonant transitions from metals in the X-ray band. Despite these intrinsic difficulties, I will show that the number of OVII systems detected down to the sensitivity threshold of our data, agrees well with numerical simulation predictions for the long-sought hot intergalactic medium, and its detection adds a fundamental tile to the long-standing missing baryon puzzle. Finally, I will comment on the implications of these new results for future high resolution X-ray missions.