We present B, V, I time-series photometry of the Coma Berenices dwarf spheroidal galaxy, a faint Milky Way satellite, recently discovered by the Sloan Digital Sky Survey. We have obtained V, B-V and V, V-I color-magnitude diagrams that reach V~23.0-23.2 mag showing the galaxy turnoff at V~21.7 mag, and have performed the first study of the variable star population of this new Milky Way companion. Two RR Lyrae stars (a fundamental-mode -RRab- and a first overtone -RRc- pulsator) and a short period variable with period P=0.12468 days were identified in the galaxy. The RRab star has a rather long period of P_ab=0.66971 days and is about 0.2 mag brighter than the RRc variable and other non-variable stars on the galaxy horizontal branch. In the period-amplitude diagram the RRab variable falls closer to the loci of Oosterhoff type-II systems and evolved fundamental-mode RR Lyrae stars in the Galactic globular cluster M3. The average apparent magnitude of the galaxy horizontal branch, =18.64+-0.04 mag, leads to a distance modulus for the Coma dSph mu_0=18.13+-0.08 mag, corresponding to a distance d=42^{+2}_{-1} kpc, by adopting a reddening E(B-V) = 0.045 +- 0.015 mag and a metallicity [Fe/H]=-2.53 +- 0.05 dex. Comment: 14 pages, 3 figures, Accepted for publication in ApJL