We detail our experience running an annual four-day workshop at the University of Minnesota, called the Mathematics Project at Minnesota (MPM). The workshop is for undergraduates who come from groups underrepresented in mathematics and aims to increase the participation and success of such groups in the mathematics major at the University. In this paper, we explain how MPM is organized, discuss its objectives, and highlight some of the sessions that we feel are emblematic of the program's success. The paper concludes with an analysis of achievements and obstacles in the programs' first three years. [Funding for the Mathematics Project at Minnesota was provided by the National Science Foundation.]