TimBot:
Excellent! Thanks for the info Mowcius!I have an XBee Explorer Shield on the way from CoolComponents, so will be able to get to the bottom of this tomorrow.
Thanks again for taking the time to answer my (newbie) questions
Tim
Well when you get that board I will happily help you set them up.
The basics are:
Get X-CTU software
In 'Modem Configuration' - Download new versions (get the latest module firmware)
Click 'Read'
Change the 'Version' drop down to the latest version
If my memory serves me correctly, the function set for one of them should be router and one should be end device (doesn't matter which for simple point to point)
Then change the PAN ID to a value - doesn't matter what it is as long as the values are the same for both modules.
There are a few other values you can change (power settings etc) but if you need them in the future you will learn what they all do. Basically, if you don't know what it does, don't fiddle 
Then write it to the module, unplug the USB board from the computer, swap the modules, plug the USB board back in and do the same for the second module.
Mowcius