We describe the operation of a very small optical dipole trap that is designed to store and manipulate individual atoms. Due to the very small dipole trap volume, a "collisional blockade" mechanism locks the average number of trapped atoms on the value 0.5 over a large range of loading rates. We demonstrate experimentally the existence of this regime, and we describe also the "weak loading" and "strong loading" regimes outside the blockade range. In addition, we describe methods to measure the oscillation frequencies of a single atom in the trap with a high accuracy, and a "release and recapture" method designed for temperature measurements at the single atom level. The measured "single atom temperature" is 35 µK, that is in the sub-Doppler regime. Finally, by exploiting the extremely high density observed in the strong loading regime, we present preliminary results for evaporative cooling, where typically 30 atoms at 200 µK are forced to evaporate into about 10 atoms at 15 µK.