So if i understand you, in the serial monitor i can send message to another xbee and he can understand that message, exemple if i send to serial monitor " analogWrite(3, HIGH); ", he will put +5v to the 3 pin
No. The Arduino receiving the message has to parse the character stream coming through the Xbee and then act appropriately. Sending an actual Arduino function call within a string will not automatically call that function. You are just sending bytes over the Xbees, that is it.
You know a good way to learn this is to Google "xbee arduino tutorial". There are many to choose from to help you understand this.
Another good place to look is chapter 14 of the book "Arduino Cookbook". Great explanations and good sample code.