The recently discovered high temperature superconductor F-doped LaFeAsO and related compounds represent a new class of superconductors with the highest transition temperature (Tc) apart from the cuprates. The studies ongoing worldwide are revealing that these Fe-based superconductors are forming a unique class of materials that are interesting from the viewpoint of applications. To exploit the high potential of the Fe-based superconductors for device applications, it is indispensable to establish a process that enables the growth of high quality thin films. Efforts of thin film preparation started soon after the discovery of Fe-based superconductors, but none of the earlier attempts had succeeded in an in-situ growth of a superconducting film of LnFeAs(O,F) (Ln=lanthanide), which exhibits the highest Tc to date among the Fe-based superconductors. Here, we report on the successful growth of NdFeAs(O,F) thin films on GaAs substrates, which showed well-defined superconducting transitions up to 48 K without the need of an ex-situ heat treatment.