We study phonons in MgB2 using inelastic x-ray scattering (1.6 and 6 meV resolution). We clearly observe the softening and broadening of the crucial E(2g) mode through the Kohn anomaly along GammaM, in excellent agreement with ab initio calculations. Low temperature measurements (just above and below T(c)) show negligible changes for the momentum transfers investigated and no change in the E(2g) mode at A between room temperature and 16 K. We report the presence of a longitudinal mode along GammaA near in energy to the E(2g) mode that is not predicted by theory.