What you are trying to achieve is not really related to the ZigBee units
The ZigBees in this scenario are simply used as a cable replacement.
The basic premise is the same though.
Think of if you had an arduino talking to a serial version of the ProXR Relay. It would go Arduino->RS232 Shield->Serial Cable->Serial ProXR Relay.
Then you send ASCII character codes to activate the boards features. You can read about that on page 8 here http://assets.controlanything.com/manuals/ProXR.pdf
In your scenario you are wanting to replace the Serial Cable so you would go Arduino->ZigBee Shield->ZigBee->ZigBee ProXR Relay
The ZigBees would then be in a AT mode (I believe) passing any serial information across the link.
For the basic information on how this works have a look at this crazy guy's youtube videos.
This one here is about basic XBee (Which is not the same as ZigBee but similar)
This one is specifically about sending serial data from an Arduino across the XBee link.
From here you would need to use all the commands in the ProXR Relay manual http://assets.controlanything.com/manuals/ProXR.pdf
Don't forget that as you need to send the commands in ASCII Character Code you need to follow the suggestions here. http://forum.arduino.cc/index.php?topic=59639.0