Xbee for Arduino Uno
What you have there is an XBee module. It is designed to plug into an XBee shield which then plugs into the Arduino.

So you need to buy more.

That's the bad news.  The good news is that you have already bought the most expensive part, and the shield to go with it is pretty cheap.

Numerous people make the shields, such as:


Sparkfun
Seeed
DFRobot


Also note that XBees talk to other XBees, so you need at least two of them to get any form of communication going.  If you want to talk to your computer there is a device called the XBee Explorer which plugs into the PC to allow you to communicate with an XBee module.