There are quite a few tutorials on the net for this, First of all, there is the local one, (needn't be the specific Arduino shield, can be wired to the board through soft serial),
The Tutorial by Jeremy Blum, who hosts an Arduino tutorial on Element14.com's website,
and Limore Fried's (Lady Ada) on her website,
http://www.ladyada.net/make/xbee/point2point.html
there's also a whole set of 5 basic to advanced XBEE tutorials on YouTube by Tunnelsup , which also includes a link to a PDF
cheat-sheet on setting up the Series-2 XBEE's.
XBee Basics - Lesson 1 - General Information and Initial Setup - YouTube (this links to Tutorial 1 only, there are total of 5, last being XBee Basics - Lesson 5 - API mode: Send Digital Output to a Rmote XBee - YouTube )
Are you using the Xbee shield? or the Adafruit XBee adaptor? (XBee adapter - Simple wireless communication), or even Sparkfun's versions? ( USB dongle, SparkFun XBee Explorer USB - WRL-11812 - SparkFun Electronics , and TTL SparkFun XBee Explorer Regulated - WRL-11373 - SparkFun Electronics)
I'm assuming the USB dongle (either Adafruit's, Parallax, or Sparkfun, for the PC side. These tutorials should get you pointedd in the right direction. I'm still working on a robotics project, and I've finally settled on the Xbee for communications between the laptop & the robot, but trying to figure a Communications packet protocol between the two. I've mastered the point to point, Now just a matter of getting all info back & forth between the two devices.
Hope these help! Stephen