I would like to know if the following setup will do the trick:
I would like to use an arduino fio in combination with an Xbee module that will comminucate with an another XBee connected to my computer with an Xbee explorer serial to usb.
This part is.
I will process to signal and use an analog input of the Fio, sample my signal
What kind of processing are you planning? What signal is being processed? Keep in mind that the ADC sampling rate is relatively slow.
and then transmit it to the XBee plugged in my computer.
As binary or ASCII data? If binary, that's two bytes. How will you synchronize the read operation, if a byte gets lost?
As ASCII data, that is a maximum of 4 chars plus some separator.
So, since I have never used any if these components, I would like to know if the programming of the Fio and the Xbee is relatively simple
Compared to what? For whom? The XBee doesn't need programming, any more than your car radio does. The Arduino does, but some people consider it simple. Others struggle.
are there known problems I should be aware of
Well, XBees come in two varieties - point to point and mesh network. One seems ideally suited for your purposes. One is overly complicated. Digi will tell you that the XBees don't need to be configured to work, but for optimum speed they do.
is the serial data easily retreivable from an Xbee
Yes. The XBee takes care of pushing the data to the Arduino, and into the serial buffer. All you have to do is read it. That is no different from using wires.
is the wireless programming of the Fio with the Xbee reliable
Couldn't tell you.