The XBees act as transceiver modules and you can chose their role in the network by programming the corresponding firmware (coordinator/ router/ end device / AT/ API-mode).
What you have to consider among other things before buying is the transmit power ("normal"/ PRO) and the antenna form factor.
In the simplest way you only connect the Vcc and GND from the XBee to 3V3 to the Arduino and the RX/TX from the Arduino to DOUT and DIN of the XBee. While this is working you might consider a level shifter which consists of a voltage divider in its simplest form (like I did: http://lookmanowire.blogspot.com/2011/06/temperature-sensor-network-with-rtc-and.html
There is a good book available if you want to dig deeper into wireless networking with XBee: http://oreilly.com/catalog/9780596807740/