  We investigate random interlacements on Z^d, d bigger or equal to 3. This
model recently introduced in arXiv:0704.2560 corresponds to a Poisson cloud on
the space of doubly infinite trajectories modulo time-shift tending to infinity
at positive and negative infinite times. A non-negative parameter u measures
how many trajectories enter the picture. Our main interest lies in the
percolative properties of the vacant set left by random interlacements at level
u. We show that for all d bigger or equal to 3 the vacant set at level u
percolates when u is small. This solves an open problem of arXiv:0704.2560,
where this fact has only been established when d is bigger or equal to 7. It
also completes the proof of the non-degeneracy in all dimensions d bigger or
equal to 3 of the critical parameter introduced in arXiv:0704.2560.
