I just made yesterday something close to what you're attempting, and as i can see you're using Series 1 XBees like me so you might want to quickly check your configuration.
Does your code states the COM port the receiving XBee is connected to and is it also selected on the Arduino IDE, as well as having the correct baud rate set on the Serial Monitor? I am on a Mac, so I had to install drivers for the FTDI bus the "XBee Explorer USB" has (explained in the tutorial you linked). Also, I didn't used X-CTU for configuration, they actually worked out-of-the box and only fooled around a bit with Hyperterminal (the "screen" command in Terminal in my case) to see if they were working correctly before connecting everything up.
The difference between our projects, however, lies in that I wanted serial data from one device (a Venus GPS module) to be parsed inside the Arduino and converted to a more human readable format, then be transmitted right into the DIN pin on the "XBee Explorer regulated". The code I'm running on the Arduino is an example sketch that comes from Arduiniana with their TinyGPS library and everything was being received okay with this setup on the Serial Monitor set at 9600 baudrate (the XBee's default speed)
Wish you luck and keep me updated if you figure it out, else ask more
Edit: Sorry, you already have the drivers if you were successful at communicating X-CTU to the transceiver and since you're using an Arduino board that requires them