MEGA2560 with Arduino Shield Wireless Proto A000064

I'm a beginner with Arduino world.
I used MEGA2560 to test some sensors.
Now I want to create a communication between MEGA2560 and my computer for example o my iphone.
I bought Arduino Shield Wireless Proto A000064.
My questions are:

  1. is there a procedure, code, tutorials that explain well all the steps to create and verify the connection?
  2. The bought Arduino Shield Wireless Proto is without Xbee module. Can I use it? If it is necessary to have Xbee too, why it is possible to buy only Arduino Shield Wireless Proto A000064?

I bought Arduino Shield Wireless Proto A000064.

A link is far more useful than a few words.

  1. is there a procedure, code, tutorials that explain well all the steps to create and verify the connection?

The connection with what?

  1. The bought Arduino Shield Wireless Proto is without Xbee module. Can I use it?

Sure. Makes a handy little windshield scraper on those icy days.

If it is necessary to have Xbee too, why it is possible to buy only Arduino Shield Wireless Proto A000064?

Because Digi makes more than a dozen models of XBee that fit on that shield - including WiFi devices. Other companies also make devices that fit in the XBee form factor.