The ac nonlinear dielectric response chi3(omega,T) of glycerol was measured close to its glass transition temperature T(g) to investigate the prediction that supercooled liquids respond in an increasingly nonlinear way as the dynamics slows down (as spin glasses do). We find that chi3(omega,T) indeed displays several nontrivial features. It is peaked as a function of the frequency omega and obeys scaling as a function of omega tau(T), with tau(T) the relaxation time of the liquid. The height of the peak, proportional to the number of dynamically correlated molecules N(corr)(T), increases as the system becomes glassy, and chi3 decays as a power law of omega over several decades beyond the peak. These findings confirm the collective nature of the glassy dynamics and provide the first direct estimate of the T dependence of N(corr).