We report the deposition of thin Co$_2$FeSi films by RF magnetron sputtering. Epitaxial (100)-oriented and L2$_1$ ordered growth is observed for films grown on MgO(100) substrates. (110)-oriented films on Al$_2$O$_3$(110) show several epitaxial domains in the film plane. Investigation of the magnetic properties reveals a saturation magnetization of 5.0 $mu_B/f.u.$ at low temperatures. The temperature dependence of the resistivity $rho_{xx}(T)$ exhibits a crossover from a T^3.5 law at T<50K to a T^1.65 behaviour at elevated temperatures. $rho_{xx}(H)$ shows a small anisotropic magnetoresistive effect. A weak dependence of the normal Hall effect on the external magnetic field indicates the compensation of electron and hole like contributions at the Fermi surface.
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