The first thing I'd do is check the voltage at physical pin 1 on the XBee. Make sure it's getting 3.3 volts. Also is the Association light blinking? An LED between physical pin 15 and ground should turn on and off repeatedly for an 802.15.4 (series 1) radio at all times, and for a ZigBee radio (series 2) that's associated with a network. These two tests are a good first sanity-check step for seeing if you XBee has power and is performing right internally.