There is a recent thread about the same argument, have a look at the forum index.
Anyway, you can do these checks:
1) if you are using Zigbee firmware, be sure that the network is operative. You need one coordinator and one router or end device. Check the AI parameter to see the network status
2) be also sure to use AT firmware and not API firmware
3) if you are using other firmware such as Digimesh or 802.15.4, be sure again that you are in AT mode and not API