These breakout boards are mostly designed such that you can plug the XBee into one of those prototype boards so you can experiment. So, you probably need something like this:http://www.sgbotic.com/index.php?dispatch=products.view&product_id=1131
See, the XBee's pin spacing is different from the generally used prototype board and the little breakout you got will overcome this problem. So, once you have one of the breadboards (you may already have one), get some sockets for the XBees and some pins for the breakout:http://www.sgbotic.com/index.php?dispatch=products.view&product_id=65http://www.sgbotic.com/index.php?dispatch=products.view&product_id=86
so you can plug the stuff together ,and go for it.
See, once you get the XBee in the socket on the breakout board and the headers plugged into the breadboard, you can connect the XBee to the 3.3V source on the arduino and the XBee Tx and Rx to the arduino and start learning how to use it.
Note, I chose the items from the same site you got the breakout from. You certainly don't have to get those particular items; shop around for price, delivery and such before you actually buy something.