It was my understanding that they should be able to communicate out of the box without any additional configuration. Howeve it appears as though this isnt the case.
You should NOT believe everything you read.
Series 1 XBees WILL, out of the box, communicate with each other - in a very poor fashion.
Series 2 can not possibly, because at least one, and no more than one, must be a coordinator. The rest must be end devices or routers.
If the Series 2 XBees come configured as coordinator, then you have two in a network, which is not supported.
If they come configured as routers or end devices, then you have no coordinator in the network, which is not supported.
So, digi really should stop spouting that nonsense about "works out of the box; no configuration needed".
You need to configure one of the XBees twice, since you are trying to force the mesh network models to act as point-to-point models.
First, connect one of the XBees, and start up X-CTU. Set the XBee as coordinator, and write down it's address (SH(1) and SL(1)).
Then, connect the other XBee, and start up X-CYU. Set the XBee as router, and write down it's address (SH(2) and SL(2)). Set the address of the device that it listens to (DH and DL) to SH(1)/SL(1) of the coordinator.
Then, connect the first XBee again, and set the address it listens to (DH and DL) to the address of the second XBee (SH(2)/SL(2)).