We present the first experimental demonstration of the maximum confidence measurement strategy for quantum state discrimination. Applying this strategy to an arbitrary set of states assigns to each input state a measurement outcome which, when realized, gives the highest possible confidence that the state was indeed present. The theoretically optimal measurement for discriminating between three equiprobable symmetric qubit states is implemented in a polarization-based free-space interferometer. The maximum confidence in the measurement result is 2/3. This is the first explicit demonstration that an improvement in the confidence over the optimal minimum error measurement is possible for linearly dependent states.