Can an XBee be programmed with an XBee Shield
Recommend you get yourself one of these.   It's well worth the price and will save you a lot of headaches.   Programming can get complex, if you're doing it manually instead of using X-CTU.  Since you really only have to do it once, it's much easier to tweak the settings in X-CTU and not bother with the programming code within your application.

About the only thing you can really do with a single XBee is learn about it: fiddle with the settings and whatnot.  When you've learned all you can, you'll have to buy another one.  :)