We report the observation of the melting of a vortex lattice in a fast rotating quasi-two dimensional Bose gas, under the influence of thermal fluctuations. We image the vortex lattice after a time-of-flight expansion, for increasing rotation frequency at constant atom number and temperature. We detect the vortex positions and study the order of the lattice using the pair correlation function and the orientational correlation function. We evidence the melting transition by a change in the decay of orientational correlations, associated with a proliferation of dislocations. Our findings are consistent with the hexatic to liquid transition in the Kosterlitz, Thouless, Halperin, Nelson, and Young scenario for two-dimensional melting.