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We report the results of experimental studies of dc magnetic properties and low-frequency linear response of MgB₂ polycrystalline sample. The sample was grown using hot isostatic pressing method for preparation of bulk MgB₂ materials. The dc magnetization curves were measured by commercial SQUID magnetometer, the ac susceptibility at frequency range 5 - 1000 Hz was measured in the parallel to the sample surface ac and dc fields. It was found that approximately full screening of ac field and large losses that considerably exceeded the losses both in normal and mixed state were observed in high dc fields. Also the frequency dispersion was observed. At the given dc field the real part of susceptibility depends on the frequency and for some fields it is approximately the logarithmic function as for spin-glass systems. Losses exhibit maximum as a function of frequency and this maximum moves with the changing of the dc field. These features are typical for the response of low-temperature superconductors in surface superconducting state (SSS). Experimental data revealed that SSS existed only against a background of volume magnetization of the sample. The nature of the SSS will be discussed on base of the Ginzburg-Landau model for two-band anisotropic superconductors.