A beam of multi-MeV helium ions has been observed from the interaction of a short-pulse high-intensity laser pulse with underdense helium plasma. The ion beam was found to have a maximum energy for He2+ of (40(-8)(+3)) MeV and was directional along the laser propagation path, with the highest energy ions being collimated to a cone of less than 10 degrees. 2D particle-in-cell simulations show that the ions are accelerated by a sheath electric field that is produced at the back of the gas target. This electric field is generated by transfer of laser energy to a hot electron beam, which exits the target generating large space-charge fields normal to its boundary.