The press conference, titled 'Xbox: Entertainment Evolved', will begin at 12.30pm EST/9.30am PST (5.30pm GMT) on June 4. It will stream live to all Xbox Live users.
In the past, Microsoft has offered videos from its E3 press conference afterwards, but this is the first time it will provide a live video stream of the event.
Microsoft has already said that it will not announce its next Xbox console at E3. However, recent reports suggest a $99 subscription-based Xbox 360 bundle may be announced.
With the press conference's title emphasising Xbox as an entertainment platform, Microsoft will make a big announcement regarding its new 'Woodstock' music streaming service.
Games will of course be the highlight, with information on titles including Halo 4 and Fable: The Journey.
E3 2012 will be held on June 5-7 in Los Angeles, California.
Watch a trailer for Halo 4 below: