How to use Mega Sensor Shield v2.3 to build XBee communication

the introduction about Mega Sensor Shield v2.3 is in the site

there are three Xbee slots on the board and I use the software called X-CTU . After I established the connection between the shield and PC,
X-CTU hint : unable to communicate wuith modem.

After I established the connection between the shield and PC,
X-CTU hint : unable to communicate wuith modem.

This makes no sense. How have you connected the shield and the PC? The shield is meant to be connected to the Arduino.

If the shield is connected to the Arduino, then X-CTU can not communicate with the XBee on it, unless you remove the ATMega chip. With a Mega, that's not an easy thing to do.