I thought we can't program Xbee straight away but need another MC for example Arduino connected through the USART for further programming for example converting the signal from temperature sensor to celcius. Am I right?
The sensor senses its environment. It produces a voltage that reflects the sensed environment. That voltage is converted to a value by the Arduino or by the XBee. That value still doesn't represent a temperature, for instance. The value needs some further processing. That can be done on an Arduino, and the processed value send over the air to the other XBee which will send it via the serial port to the PC.
Or, you can skip the Arduino, and do the processing on the PC.