The magnetic state of a single magnetic ion (Mn2+) embedded in an individual quantum dot is optically probed using microspectroscopy. The fine structure of a confined exciton in the exchange field of a single Mn2+ ion (S=5/2) is analyzed in detail. The exciton-Mn2+ exchange interaction shifts the energy of the exciton depending on the Mn2+ spin component and six emission lines are observed at zero magnetic field. Magneto-optic measurements reveal that the emission intensities in both circular polarizations are controlled by the Mn2+ spin distribution imposed by the exchange interaction with the exciton, the magnetic field, and an effective manganese temperature which depends on both the lattice temperature and the density of photocreated carriers. Under magnetic field, the electron-Mn interaction induces a mixing of the bright and dark exciton states.