We present optical observations of an ultraluminous X-ray source (ULX) in Holmberg IX, a dwarf galaxy near M81. The ULX has an average X-ray luminosity of some 1040 erg/s. It is located in a huge (400pc × 300pc) ionized nebula being much larger than normal supernova remnants. From the observed emission lines (widths and ratios) we find that the structure is due to collisional excitation by shocks, rather than by photoionization.We identify the optical counterpart to be a 22.8 mag blue star (M_V=-5.0) belonging to a small stellar cluster. From isochrone fitting of our multi-colour photometry we determine a cluster age of some 60 Myr. We also discovered strong stellar HeIIλ4686 emission (equivalent width of 10 Å) which proves the identification with the X-ray source, and which suggests the presence of an X-ray heated accretion disc around the putative black hole.