Further modifications of the method proposed by Ott, Grebogi and Yorke to control chaos [Phys. Rev. Lett. 64, 1196 (1990)] have been achieved allowing us to stabilize and characterize unstable states (stationary or periodic) in their whole domain of existence. We demonstrate the possibility of stabilizing unstable periodic orbits in an experiment by applying a continuous feedback method. It has been checked experimentally on a CO2 laser with a modulated parameter. This kind of method is very attractive opening the way to the control of chaos in very fast systems.