In this letter, we consider an intelligent reflecting surface (IRS) assisted Guassian multiple-input multiple-output (MIMO) wiretap channel in which a multi-antenna transmitter communicates with a multi-antenna receiver in the presence of a multi-antenna eavesdropper. To maximize the secrecy rate of this channel, an alternating optimization (AO) algorithm is proposed to jointly optimize the transmit covariance R at transmitter and phase shift coefficient Q at IRS by fixing the other as a constant. When Q is fixed, existing numerical algorithm is used to search for global optimal R. When R is fixed, three sucessive approximation to the objective function to surrogate lower bound is applied and minorization-maximization (MM) algorithm is proposed to optimize the local optimal Q. Simulation results have be provided to validate the convergence and performance of the proposed AO algorithm.