trobule shooting with xbee

hi there i have 2 xbees from series 1 which i have sucessfully configure them using the x-ctu

however when i try to put one xbee on its arduino board (not using shiled but using adapter to the xbee) and the arduino connected to the computer then the x-ctu cant communicate with the xbee
(a msg pops out saying : "unable to communicate with modem")

maybe im connecting it wrong or somwthing? how to communicate wuth the xbee while its on its arduino board (which in my case is mega 2560 r3)

ideas? maybe someone did it and know the excat levels? (like what wire connect to what and all that)

thanks alot hope to get an answer soon