Assuming a UNO board [which you didn't specify], you cannot connect XBee to Arduino header
pins 0,1 [Rx,Tx] at the same time as talk to the Arduino from the PC via USB. The signals
conflict.
You can do what Paul says, but you have to cross-wire the XBee to the Rx,Tx pins to get the
USB port thinking the XBee module is an Arduino.
You can also avoid removing the 328 chip by simply holding it in reset - easiest way is to short
the Reset pin on the ICSP header to ground [don't short the Vcc pin by mistake].