http://www.arduino.cc/en/Main/ArduinoXbeeShieldthis explain the jumper mode
also note that if you wan the data to come back to the computer throought the XBee well there is no reliable way of doing it without taking the arduino out
you can how ever send datas
te other possibilitie is that your Xbee are on diferent channel wih is wierd mine came on the default and i changed them to as custom in case i encounter an other Xbee user
(is you wanna try to run the sof you could try DarWine (Wine for mac os) i never tyed it can,t say if it works well or not)
X-ctu exist for linux to if i'm right
the last option is to write a code for arduino that have for only goal to change the setting of the Xbee