We have performed an extensive Scanning Tunnelling Spectroscopy study on c-axis oriented MgB2 thin films. By approaching a mechanically etched Pt/Ir tip, we realized S-I-N vacuum junctions. Only the 3D energy gap Delta(pi) =2.7 meV was observed, appearing spatially homogeneous all over the sample surface. We also produced S-I-S junctions by capturing a small MgB2 grain as STM tip. In these cases, the tunnelling spectra showed four coherence peaks at energies similar to +/- 4.7 and similar to +/- 8.3 meV. We finally investigated the magnetic field dependence of the double structures observed in the S-I-S configuration: a rapid reduction of the 3D energy gap Delta(pi) at low fields was found, while the 2D energy gap Delta(sigma) seems to be not strongly affected by magnetic fields up to 2.6 T.