The aim of this thesis is to characterize the properties of a Josephson junction in a Scanning Tunneling Microscope (STM) at millikelvin temperatures and to implement Josephson STM (JSTM) as a versatile probe at the atomic scale. To this end we investigate the I(V) tunneling characteristics of the Josephson junction in our STM at a base temperature of 15 mK by means of current-biased and voltage-biased experiments. We find that in the tunneling regime, the Josephson junction is operated in the dynamical Coulomb blockade (DCB) regime in which the sequential tunneling of Cooper pairs dominates the tunneling current. Employing P(E)-theory allows us to model experimental I(V) characteristics from voltage-biased experiments and determine experimental values of the Josephson critical current in agreement to theory. Moreover, we observe a breakdown of P(E)-theory for experiments at large values of the tunneling conductance on the order of the quantum of conductance, which could indicate that the coherent tunneling of Cooper pairs strongly contributes to the tunneling current in this limit. We also observe that the Josephson junction in an STM at temperatures well below 100 mK is highly sensitive to its electromagnetic environment that results from its tiny junction capacitance of a few femtofarads. The combination of the experimental results with numerical simulations reveals that the immediate environment of the Josephson junction in an STM is frequency-dependent and, additionally, that a typical STM geometry shares the electromagnetic properties of a monopole antenna with the STM tip acting as the antenna. Comparing the I(V) curves of voltage-biased and current-biased experiments, we observe that the time evolution of the phase is strongly effected by dissipation due to quasiparticle excitations. From investigations on the retrapping current we show first that the temporal evolution of the junction phase in our STM satisfies a classical equation of motion. Second, we can determine two different channels for energy dissipation of the junction phase. For tunneling resistance values RN< 150 kOhm the junction dissipates via Andreev reflections whereas for larger values of RN <150 kOhm the energy dissipation is dominated by lifetime effects of Cooper pairs. Moreover, from comparing both experiments we also observe that the quantum-mechanical nature of the junction phase manifests itself in quantum-mechanical phenomena, such as phase tunneling, which strongly alter our experimental I(V) characteristics for GN<=G0. To conclude, within this thesis we characterized the properties of a Josephson junction in an STM that is operated at millikelvin temperatures. Hence, this work represents necessary and fundamental steps that allows us to employ the Josephson effect as a versatile probe on the atomic scale.