Thermal Emission from a Hot Cocoon Surrounding the Jet of XRF 060218

It is long speculated that long duration gamma-ray bursts (GRBs) originate froma relativistic jet emerging from a collapsing massive star progenitor. Although associations of core-collapsing supernovae with long GRB afterglows have been identified in a number of systems, including the latest X-ray flash (XRF) 060218/SN 2006aj connection detected by Swift, direct evidence of a relativistic jet emerging from a collapsing star is still lacking. Here we report the detection of a thermal emission component (high-T component) accompanying the prompt X-ray emission of XRF 060218, with temperature kT_H=1.21+0.22/-0.24 keV and effective blackbody radius R_H~ 5\times 10^{9} cm. This high-T component co-exists with another low-T thermal component as reported by Campana et al. 2006 for at least 2700 seconds, but evolves independently with respect to the low-T component by tracing the lightcurve of the non-thermal component. We identify this high-T thermal component as the emission of a hot cocoon surrounding the relativistic jet, as expected from the theoretical models.