We report a detection of water in emission in the spectrum of the M2 supergiant star μ Cephei (M2 Ia) observed by the Short-Wavelength Spectrometer on board Infrared Space Observatory (ISO) and now released in the ISO archives. The emission first appears in the 6 μm region (ν2 fundamental bands) and then in the 40 μm region (pure rotation lines) despite the rather strong dust emission. The intensity ratios of the emission features are far from those of the optically thin gaseous emission. Instead, we could reproduce the major observed emission features by an optically thick water sphere of the inner radius about 2R* (≈1300 R☉), Tex = 1500 K, and Ncol(H2O) = 3 × 1020 cm-2. This model also accounts for the H2O absorption bands in the near-infrared (1.4, 1.9, and 2.7 μm) as well. The detection of water in emission provides strong constraints on the nature of water in the early M supergiant star, and especially, its origin in the outer atmosphere is confirmed against other models such as the large convective cell model. We finally confirm that the early M supergiant star is surrounded by a huge optically thick sphere of the warm water vapor, which may be referred to as MOLsphere for simplicity. Thus, the outer atmosphere of M supergiant stars should have a complicated hierarchical and/or hybrid structure with at least three major constituents, including the warm MOLsphere (T ≈ 103 K) together with the previously known hot chromosphere (T ≈ 104 K) and cool expanding gas-dust envelope (T ≈ 102 K).