The amount of baryons seen in the local Universe falls short by a factor2-5 if compared to the amount of detected baryons at intermediate (z~2)or high (z~1,100) redshift. This is the so called "missing baryon" problem in Cosmology. Hydrodynamical simulations of the large scale structure predict that most of those missing baryons should be in the form of ionized gas present in slightly overdense regions, at a temperature ranging from 10^5 to 10^7 K, conforming the "Warm Hot Intergalactic Medium" (WHIM). This WHIM would not form stars, and would not emit or absorb either in the IR, optical or UV. However, it should interact with the photons of the Cosmic Microwave Background (CMB) through two different channels: (i) Thompson scattering (where there is no energy exchange) and (ii) Compton scattering (where hot electrons transfer energy to the CMB photons, distorting their black body spectrum). I shall review the status of the search for missing baryons in the context of CMB observations and the currently most favored cosmological model. I shall also outline new methods and prospects for detecting this missing gas with upcoming CMB experiments and address the link between the cosmic baryon problem and the search for (so far undetected) bulk flows at scales of ~10 Mpc/h.