Most of the baryons from galaxies have been "missing" and several studies have attempted to map the circumgalactic medium (CGM) of galaxies in their quest. We report on X-ray observations made with the Chandra X-Ray Observatory probing the warm-hot phase of the CGM of our Milky Way at about 10 super(6) K. We detect O VII and O VIII absorption lines at z = 0 in extragalactic sight lines and measure accurate column densities using both K alpha and K beta lines of O VII. We then combine these measurements with the emission measure of the Galactic halo from literature to derive the density and the path length of the CGM. We show that the warm-hot phase of the CGM is massive, extending over a large region around the Milky Way, with a radius of over 100 kpc. The mass content of this phase is over 10 billion solar masses, many times more than that in cooler gas phases and comparable to the total baryonic mass in the disk of the Galaxy. The missing mass of the Galaxy appears to be in this warm-hot gas phase.