Let π be a continuous
representation of a Lie group G in a finite dimensional real vector space V . Denote by
H□(G,V ) the cohomology with empty supports in the sense of Sze-tsen Hu. If L is
the Lie algebra of G,π induces an L-module structure on V and there is the
associated cohomology H(L,V ) of Chevalley-Eilenberg. Our main result is the
construction of an isomorphism H□(G,V ) ≃ H(L,V ).