First off, all you have to do is plug in the XBee module, and it will connect to the proper
pins for Rx,Tx. You're reading something wrong, because pins 2,3 on the module are the
Dout,Din pins, respectively, exactly as shown on the XBee shield schematic.
Secondly, judging by the comments shown on the sparkfun pages, if you bought your XBee
shield more recently than about 2 years ago, you'll have the newer [ie, replacement] one.
The new one is good, in having proper 3.3V-to-5V level-shifters, the old one is bad, and
doesn't have level-shifters.
Thirdly, the link you gave is for the wrong XBee module. If you actually have the S2 module,
then the following is the correct link. Your link was for the S1, series 1 modules.
ftp://ftp1.digi.com/support/documentation/90000866_A.pdf
Fourthly, the S2 modules take more setting up, so you need to read the datasheet before
starting.
Fifthly, one thing to be aware of is, you cannot connect the XBee module via
that particular shield at the same time as connecting the Arduino to the USB port, since
the USB and XBee signals will conflict. Those shields are not designed very well to make your
life easy, unfortunately.
EDIT: for some reason, patching in an ftp link doesn't work, and when the URL comes up
in the browser, I have to insert a : [colon] after the first ftp.