Got it. Thanks for the help guys.
I have successfully programmed Xbee with Xbee Shield. Its not that difficult, as PaulS said, Xbee are already configured, so what you have to do is just program the serial port in VB.net to read and write and Xbee will do the rest automatically.
Now i can easily send Strings from one Xbee connected to PC using USB cable to another Xbee connected to another PC using USB cable.