Did you move the jumper to the xbee setting as described in the tutorial ?
Once you've uploaded the Physical Pixel sketch and made sure that it's working, unplug the first Arduino board from the computer. Switch the jumpers to the Xbee setting (i.e. place each on the center pin and the pin farthest from the edge of the board). Now, you need to upload a sketch to the other board. Make sure its jumpers are in the USB setting. Then upload the following sketch to the board:
void setup()
{
Serial.begin(9600);
}
void loop()
{
Serial.print('H');
delay(1000);
Serial.print('L');
delay(1000);
}
When it's finished uploading, you can check that it's working with the Arduino serial monitor. You should see H's and L's arriving one a second. Turn off the serial monitor and unplug the board. **Switch the jumpers to the Xbee setting.** Now connect both boards to the computer. After a few seconds, you should see the LED on the first board turn on and off, once a second. (This is the LED on the Arduino board itself, not the one on the Xbee shield, which conveys information about the state of the Xbee module.) If so, congratulations, your Arduino boards are communicating wirelessly. This may not seem that exciting when both boards are connected to the same computer, but if you connect them to different computers (or power them with an external power supply - being sure to switch the power jumper on the Arduino board), they should still be able to communicate.
It sounds like you are not following these instructions.
**Switch the jumpers to the Xbee setting.Now connect both boards to the computer. **