Double-gap superconductivity in an epitaxial MgB2 film has been studied by means of point-contact spectroscopy in magnetic field up to 8 Tesla. The relatively fast disappearance of the feature associated with the pi-band gap at a field around 1 T is caused by the line broadening due to strong pair breaking rather than to a collapse of the double-gap state. This pair breaking was found to increase linearly with field. Field dependences of the order parameters Delta_pi and Delta_sigma in the pi and sigma bands were measured in field applied parallel and perpendicular to the film, at T = 4.2 K. In perpendicular field, both order parameters survive to a common Hc2, which is about 6.5 T for this direction. In parallel field, the decrease of Delta_sigma is much more gradual, consistent with the Hc2 being about 4 times greater in this ori-entation. The difference in Delta_pi measured in the two field orientations is however smaller than the difference of Delta_sigma. We compare these results with the data on tunnelling spectroscopy and specific heat measurements of MgB2 single crystals and find consistency between the different experimental approaches.