Currently, a new multi-frequency ECRH system is under construction at the ASDEX Upgrade tokamak experiment. This system employs, for the first time in a fusion device, multi-frequency gyrotrons, step-tunable in the range 105-140 GHz. The first two gyrotrons, working at 105 and 140 GHz, were installed and tested. The matching optics unit includes a set of phase correcting mirrors for each frequency as well as a pair of broadband polarizer mirrors. The transmission line consists of non-evacuated corrugated HE11 waveguides with an inner diameter (113) of 87 mm and has a total length of about 70 m. Transmission losses were deducted from calorimetric measurements both at the beginning and at the end of the transmission line at both frequencies and are in reasonable agreement with theory. Two transmission lines are completed so far and first plasma experiments with the new system have started. The first gyrotron Odissey-1 is currently being equipped with a broadband chemical vapour deposition (CVD) diamond Brewster output window and will become a step-tunable gyrotron with the additional frequencies 117 and 127 GHz. A tunable double-disc CVD-diamond window will be mounted at the torus. The system includes fast steerable launchers at the front end that will allow very localized feedback controlled power deposition in the plasma.