We present direct upper limits on continuous gravitational wave emission from the Vela pulsar using data from the Virgo detector's second science run. These upper limits have been obtained using three independent methods that assume the gravitational wave emission follows the radio timing. Two of the methods produce frequentist upper limits for an assumed known orientation of the star's spin axis and value of the wave polarization angle of, respectively, 1.9 x 10(-24) and 2.2 x 10(-24), with 95% confidence. The third method, under the same hypothesis, produces a Bayesian upper limit of 2.1 x 10(-24), with 95% degree of belief. These limits are below the indirect spin-down limit of 3.3 x 10(-24) for the Vela pulsar, defined by the energy loss rate inferred from observed decrease in Vela's spin frequency, and correspond to a limit on the star ellipticity of similar to 10(-3). Slightly less stringent results, but still well below the spin-down limit, are obtained assuming the star's spin axis inclination and the wave polarization angles are unknown.