The first measurements of the angular distribution of Auger electrons from fixed-in-space molecules have been performed in the C K-shell ionization region of CO, for both parallel and perpendicular orientations of the molecular axis with respect to the light polarization vector. The angular distributions obtained for the CO(2+)B(1)Sigma Auger final state show dramatic spectral variations, which also depend on the initial ionization channels, Sigma or Pi, and on the ionization photon energy. This dynamical angular correlation process strongly suggests the breakdown of a two-step model in which the Auger decay is treated independently of the initial photoionization process.