I’m going to need more information if you want me to diagnose your problem. When you say “it doesn’t work”, do you mean that it doesn’t compile, or there’s no output on the serial monitor, or is there nothing transmitted by the Xbee?
Also, please answer these questions:
What type of USB-to-TTL adapter are you using to program the Fio?
How is it connected to the Fio?
How did you configure the Xbee radios? What settings did you change from their default values on the Xbees?
If one Xbee is in the Fio, where is your second Xbee and how are you viewing the received data?