We have designed and built a scanning tunneling microscope (STM) setup for operation at millikelvin temperatures in an ultrahigh vacuum. A compact cryostat with an integrated dilution refrigerator has been built that allows measurements at a base temperature of 25 mK in the magnetic field up to 7.5 T with low mechanical and electronic noise. The cryostat is not larger than conventional helium bath cryostats (23 and 13 l of nitrogen and helium, respectively) so that the setup does not require a large experimental hall and fits easily into a standard lab space. Mechanical vibrations with running dilution circulation were kept below 1 pm/ by mechanically decoupling the STM from the cryostat and the pumping system. All electronic input lines were low-pass filtered, reducing the electronic temperature to below 100 mK, as deduced from the quasiparticle peaks of superconducting aluminum. The microscope is optically accessible in the parked position, making sample and tip exchange fast and user-friendly. For measurement, the STM is lowered 60 mm down so that the sample ends in the middle of a wet superconducting magnetic coil.