Hi,
I would start here: http://arduino.cc/forum/index.php/topic,54795.0.html
With this you can find out if your module is connected correctly and working.
Go near a WIFI wouter and you should get some output. The output should look like in the example. When I first tried it I got 'W' stated in all fields of all chanels.
I don't remember though what the problem was. One NRF worked, the other didn't.
One you got this running you can start with the ping examples of the NRF library.
Regards,
Robert