A fundamental feature of the heliosphere is the three-dimensional structure of the interplanetary magnetic field. The magnetic field investigation on Ulysses, the first space probe to explore the out-of-ecliptic and polar heliosphere, aims at determining the large-scale features and gradients of the field, as well as the heliolatitude dependence of interplanetary phenomena so far only observed near the ecliptic plane. The Ulysses magnetometer uses two sensors, one a Vector Helium Magnetometer, the other a Fluxgate Magnetometer. Onboard data processing yields measurements of the magnetic field vector with a time resolution up to 2 vectors/second and a sensitivity of about 10 pT. Since the switch-on of the instrument in flight on 25 October 1990, a steady stream of observations has been made, indicating that at this phase of the solar cycle the field is generally disturbed: several shock waves and a large number of discontinuities have been observed, as well as several periods with apparently intense wave activity. The paper gives a brief summary of the scientific objectives of the investigation, followed by a detailed description of the instrument and its characteristics. Examples of wave bursts, interplanetary shocks and crossings of the heliospheric current sheet are given to illustrate the observations made with the instrument.