Thanks for the help!
I found a solution for my problem:
Fot the configuration of the XBee's, i first restored them to the original settings and only adjusted the parameters needed (following the guide of this topic: http://arduino.cc/forum/index.php/topic,125324.0.html
I just uploaded the same code on the arduino which i used to transmit data via the USB-cable to my pc (switch of shield in USB mode), to get that XBee (on the arduino) send that info to the other XBee (on the USB Explorer) you need to PUT THE SWITCH TO MICRO MODE!!!
In my opinion that's a bit weird because the rx ledon the arduino is blinking while you are transmitting data, when you put it in usb mode: the tx led is blinking while you are receiving data (the arduino code) ...
One more question: Do you know how to store the information of the X-CTU terminal somewhere? (For example Excel sheet, Matlab, Labview, ...)