In this paper we propose an innovative prototype of a haptic display for whole-hand immersive exploration. We envision a new concept of haptic display, the Haptic Black Box concept, which can be imagined as a box where the operator can poke his/her bare hand, and interact with the virtual object by freely moving the hand without mechanical constraints. In this way sensory receptors on the whole operator's hand would be excited, rather than restricting to just one or few fingertips or phalanges. To progress towards such a challenging goal, magnetorheological (MR) fluids represent a very interesting technology. These fluids are composed of micron-sized, magnetizable particles immersed in a synthetic oil. Exposure to an external magnetic field induces in the fluid a change in rheological behaviour turning it into a near-solid in few milliseconds. By removing the magnetic field, the fluid quickly returns to its liquid state. We briefly report on the design of this device, describe psychophysical experiments to assess performance for softness and shape exploration, and report on the experimental results.