We consider the random Schr\"odinger operator on $\mathbb{R}$ obtained by perturbing the Laplacian with a white noise. We prove that Anderson localization holds for this operator: almost surely the spectral measure is pure point and the eigenfunctions are exponentially localized. We give two separate proofs of this result. We also present a detailed construction of the operator and relate it to the parabolic Anderson model. Finally, we discuss the case where the noise is smoothed out.