You should look at the bottom of the RF module and see which model you have. Then in X-CTU select the correct modem model and click show defaults. it sounds like your RF radio is configured for API mode. You may want to select the correct modem type and load one of the other firmwares like the router AT so you can use the terminal program to test the device. You should click on Download new versions so you have the latest firmware version for you RF modem, and also make sure you have always update firmware checked.
but the problem now is that I connect the arduino (with an XBEE plugged on it) to the computer and interact with the XBEE.