XBee Pro Setup

I have the following 1x http://www.robotshop.com/dfrobot-xbee-expansion-board-no-xbee-1.html 1x http://www.coolcomponents.co.uk/catalog/product_info.php?cPath=25_64&products_id=243 2x http://www.coolcomponents.co.uk/catalog/product_info.php?cPath=25_64&products_id=298

i have the sheild connected to my Arduino Mega with one of the Antennea modules and the USB and other module connected to computer

according to the LEDs on the USB I am transmitting ok but on the sheild the "Associate" LED flashes. Why is this?

All I want is simple wireless connectivity.

Ideas welcome