Send command to Arduino via XBee

I have two XBee S2 that I just recently got as a gift. What I'm trying to do with them is send a command from the X-CTU terminal using a XBee connected to my computer to a XBee connected to my arduino and turn an LED on or off. I know the XBees are communicating because if I put a simple counter the arduino, the numbers show up in the terminal window.

int led = 9;        //Pin LED is connected to
int ledStatus = 0;  //Interger used to tell pin what to do

void setup()
{
  Serial.begin(9600);
  pinMode(led,OUTPUT);
}

void loop()
{
  if(Serial.available() > 0)        //Make sure bytes are in the serial buffer
  {
    ledStatus = Serial.read();      //Write bytes to int ledStatus
    analogWrite(led, ledStatus);    //Output ledStatus to LED pin
  }
}

When I run this, the LED just stays off

What I'm trying to do with them is send a command from the X-CTU terminal using a XBee connected to my computer to a XBee connected to my arduino and turn an LED on or off.

X-CTU works fine for programming the XBee. It is crap as a serial interface. Dump it, and use the Serial Monitor, instead. That will send '1' and '0', not 1 and 0, so you need to adjust your code. Perhaps that is also what X-CTU is doing., but it makes a lousy serial application, so I don't use it for that purpose.