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We demonstrate a novel technique to achieve fast thermal cycles of a small sample (a few femtoliters). Modulating a continuous near-infrared laser focused on a metal film, we can drive the local temperature from 130 to 300 K and back, within a few microseconds. By fluorescence microscopy of dyes in a thin glycerol film, we record images of the hot spot, calibrate its temperature, and follow its variations in real time. The temperature dependence of fluorescence anisotropy, due to photophysics and rotational diffusion, gives a steady-state temperature calibration between 200 and 350 K. From 200 to 220 K, we monitor temperature more accurately by fluorescence autocorrelation, a probe for rotational diffusion. Time-resolved measurements of fluorescence anisotropy give heating and cooling times of a few microseconds, short enough to supercool pure water. We designed our method to repeatedly cycle a single (bio)molecule between ambient and cryostat temperatures with microsecond time resolution. Successive measurements of a structurally relevant variable will decompose a dynamical process into structural snapshots. Such temperature-cycle experiments, which combine a high time resolution with long observation times, can thus be expected to yield new insights into complex processes such as protein folding.