In this paper we attempt a non-perturbative study of the five dimensional, anisotropic SU(2) gauge theory on the lattice using Monte-Carlo techniques. Our goal is the exploration of the phase diagram, define the various phases and the critical boundary lines. Three phases appear, two of them are continuations of the Strong and the Weak coupling phases of pure 4d SU(2) to non-zero coupling β ′ in the fifth transverse direction and they are separated by a crossover transition, while the third phase is a 5d Coulombic phase. We provide evidence that the phase transition between the 5D Coulomb phase and the Weak coupling phase is a second order phase transition. Assuming that this result is not altered when increasing the lattice volume we give a first estimate of the associated critical exponents. This opens the possibility for a continuum effective five dimensional field theory. *