You can't connect the Rx pin directly to a 5V Arduino, you need to level-shift it down to 3.3V otherwise you will damage it. You can do this with a couple of resistors to create a voltage divider. Or you can get an XBee shield for the module, like this one http://www.seeedstudio.com/depot/xbeeÂ®-shield-p-419.html?cPath=132_134
You don't need a library to use it for basic operation (e.g. receiving UPD or TCP traffic from any host, or sending UPD or TCP traffic to one host). You configure it via serial or telnet - take a look at the user manual for a description of the various configuration options, how to join a wifi network, how to open a TCP connection, etc: http://www.rovingnetworks.com/resources/download/93/WiFly_User_Manual
. More information is available here: http://www.rovingnetworks.com/resources/show/product:1
There are libraries available, they just send the same serial commands as in the user manual. They make it more convenient to change the configuration on the fly, for example to connect to different host PCs.