  We present the first >=3.5 sigma (conservative) or >=5.8 sigma (sum of lines
significance) detection of two Warm-Hot Intergalactic Medium (WHIM) filaments
at z>0, which we find along the line of sight to the blazar Mkn 421. These
systems are detected through highly ionized resonant metal absorption in high
quality Chandra-ACIS and -HRC Low Energy Transmission Grating (LETG) spectra of
Mkn 421, obtained following our two Target of Opportunity requests during two
outburst phases.
  The two intervening WHIM systems that we detect, have OVII and NVII columns
of N(OVII)=(1.0 +/- 0.3) x 1e15 cm-2} N(NVII)=(0.8 +/- 0.4) x 1e15 cm-2, and
N(OVII)=(0.7 +/- 0.3) x 1e15 cm-2, N(NVII)=(1.4 +/- 0.5) x 1e15 cm-2
respectively.
  From the detected number of WHIM filaments along this line of sight we can
estimate the number of OVII filaments per unit redshift with columns larger
than 7e14 cm-2, dP(OVII)/dz(N(OVII)>=7e14) = 67^{+88}_{-43}, consistent, within
the large 1-sigma errors, with the hydrodynamical simulation predictions of
dP(OVII)/dz(N(OVII)>=7e14) = 30. Finally, we measure a cosmological mass
density of X-ray WHIM filaments Omega_b = 0.027^{+0.038}_{-0.019} x
10^{[O/H]_{-1}}, consistent with both model predictions and the estimated
number of 'missing' baryons at low redshift.
