Multimode nonclassical states of light are an essential resource in quantum computation with continuous variables, for example in cluster state computation. They can be generated either by mixing different squeezed light sources using linear optical operations, or directly in a multimode optical device. In parallel, frequency combs are perfect tools for high precision metrological applications and for quantum time transfer. Synchronously Pumped Optical Parametric Oscillators (SPOPOs) have been theoretically shown to produce multimode non-classical frequency combs. In this paper, we present the first experimental generation and characterization of a femtosecond quantum frequency comb generated by a SPOPO. In particular, we give the experimental evidence of the multimode nature of the generated quantum state and, by studying the spectral noise distribution of this state, we show that at least three nonclassical independent modes are required to describe it.