Arduino Xbee AT command mode
Because you have an Arduino Mega, you can set it up to use it like a USB-to-UART adapter by using the following code (source):

void setup() {
  // initialize both serial ports:
  Serial.begin(9600);
  Serial1.begin(9600);
}

void loop() {
  // read from port 1, send to port 0:
  if (Serial1.available()) {
    int inByte = Serial1.read();
    Serial.write(inByte); 
  }

  // read from port 0, send to port 1:
  if (Serial.available()) {
    int inByte = Serial.read();
    Serial1.write(inByte); 
  }
}


Basically what this does is it takes the data it receives from the USB port via Serial and transmits it to Serial1 and then also reads from the UART port via Serial1 and transmits it back to the computer via Serial. With this code running you should be able to hook up the XBee to RX1 and TX1 and communicate to it using the Serial Monitor.