"Missing baryons," in the form of warm-hot intergalactic medium (WHIM), are expected to reside in cosmic filamentary structures that can be traced by signposts such as large-scale galaxy superstructures. The clear detection of an X-ray absorption line in the Sculptor Wall demonstrated the success of using galaxy superstructures as a signpost to search for the WHIM. Here we present an XMM -Newton Reflection Grating Spectrometer observation of the blazar Mkn 501, located in the Hercules Supercluster. We detected an O VII Kα absorption line at the 98.7% level (2.5σ) at the redshift of the foreground Hercules Supercluster. The derived properties of the absorber are consistent with theoretical expectations of the WHIM. We discuss the implication of our detection for the search for the "missing baryons." While this detection shows again that using signposts is a very effective strategy to search for the WHIM, follow-up observations are crucial both to strengthen the statistical significance of the detection and to rule out other interpretations. A local, z ∼ 0 O VII Kα absorption line was also clearly detected at the 4σ level, and we discuss its implications for our understanding of the hot gas content of our Galaxy. © 2014. The American Astronomical Society. All rights reserved.