Configuration for two XBEE S1 together
The solution :

You can't have two coordinator in master mode, so one should accept association and be configured as a END DEVICE:

ATCE 0
ATA1 6


The other one should be set as the coordinator :

ATCE 1
ATA2 6


After for the addressing you have two solutions :


Local addressing using PAN ID (ATID) and Local ADDRESS (ATMY)
Global addressing using Source High (ATSH) and Source Low (ATSL)


For local addressing

ATID should be the same for both XBEE, ATDH should be set to 0 and ATDL should be set to the other device ATMY:

ATID 2001    ATID 2001
OK           OK

ATMY 1253    ATMY 1254
OK           OK

ATDH 0       ATDH 0
OK           OK

ATDL 1254    ATDL 1253
OK           OK

ATWR         ATWR
OK           OK


For global addressing

ATID should be the same for both XBEE. ATDH and ATDL should be set to the other device ATSH and ATSL values:

ATID 1437      ATID 1437
OK             OK

ATSH           ATSH
13A200         13A200

ATSL           ATSL
407E149F       407E15F9

ATDH 0013A200  ATDH 0013A200
OK             OK

ATDL 407E15F9  ATDL 407E149F
OK             OK

ATWR           ATWR
OK             OK


Don't forget to save your settings using ATWR

After waiting 10 seconds or using ATCN to close the COMMAND mode, the data you write on one device should be receive by the other one:

ATCN           ATCN
OK             OK

Hello World    Hello World


To enter command mode you have to wait 1 second enter +++ and wait 1 other second

+++OK


When you receive OK you can start entering your commands.

It seams that with Xbee Serie 2 you cannot change the local address (ATMY), the PAN Coordinator set it automatically for you. So you should always use global addressing.