I have never seen an insect like this. I took this picture today. It was sitting on the door window of my car.

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Dieter,

It would be useful if you could tell us where abouts in the world you are but I've never seen anything like this before.

It seems to me to be some kind of hymenopteran mimicing something else but what, I'm not sure!

It's a mantisfly, family Mantispidae - a member of the order Neuroptera and so closely related to the lacewings and antlions.  The adults (like this) are predators of smaller insects, using their raptorial front legs to hunt in the same way that praying mantids do, while the larvae of many species are parasitic on other invertebrates, including spiders, bees & beetles

Cool!!

Where do these beasties live? Southern Europe??

The group is mainly tropical, but there are a few species (I think 4) which creep into southern Europe, and they're also present in the USA.  Sadly they don't get this far north!