Water capillaries bind together grains of sand. They also can bind an atomic force microscope tip to a substrate. The kinetics of capillary condensation at the nanoscale is studied here using friction force microscopy. At 40% relative humidity we find that the meniscus nucleation times increase from 0.7 to 4.2 ms when the temperature decreases from 332 to 299 K. The nucleation times grow exponentially with the inverse temperature 1/T obeying an Arrhenius law. We obtain a nucleation energy barrier of 7.8 x 10(-20) J and an attempt frequency ranging between 4 and 250 GHz, in excellent agreement with theoretical predictions. These results provide direct experimental evidence that capillary condensation is a thermally activated phenomenon.