Monte Carlo methods are heavily used at CEA and account for a a large part of the total CPU time of industrial codes. In the present work (done in the frame of the Parallel Computing Project of the CEL-V Applied Mathematics Department) we study and implement on the Connection Machine an optimised Monte Carlo algorithm for solving the neutron transport equation. This allows us to investigate the suitability of such an architecture for this kind of problem. This report describes the chosen methodology, the algorithm and its performances. We found that programming the CM-2 in CM Fortran is relatively easy and we got interesting performances as, on a 16 k, CM-2 they are the same level as those obtained on one processor of a CRAY X-MP with a well optimized vector code.