This paper investigates the detection performance of an improved energy detector for a secondary user with spatially correlated multiple antennas. In an improved energy detector, an arbitrary positive power operation p replaces the squaring operation in a conventional energy detector, and the optimum value of p that gives the best detection performance may be different from 2. Firstly, for a given value of p, we derive closed-form expressions for the probability of detection and the probability of false alarm when antennas at the secondary user are exponentially correlated. We then find the optimum value of p for two different detection criteria-maximizing the probability of detection for a target probability of false alarm, and minimizing the probability of false alarm for a target probability of detection. We show that the optimum p is strongly dependent on system parameters like number of antennas, antenna correlation coefficient among multiple antennas, and average received signal-to-noise ratio (SNR). From results, we infer that, in low SNR regime, the effect of antenna correlation is less pronounced on the optimum p. Finally, we find the optimum values of p and threshold jointly that minimize the total error rate.