The Wilson discretization of the dimensionally reduced supersymmetric Yang-
Mills theory is constructed. This gives a lattice version of the matrix mod
el of M-theory. An SU(2) model is studied numerically in the quenched appro
ximation for D = 4. The system shows canonical scaling in the continuum lim
it. A clear signal for a prototype of the "black hole to strings" phase tra
nsition is found. The pseudocritical temperature is determined and the temp
erature dependence of the total size of the system is measured in both phas
es, Further applications are outlined.