It sounds like you have a faulty module.
Please follow the instructions here: http://www.digi.com/resources/documentation/digidocs/90001458-13/default.htm#reference/r_xbee_recovery_tool.htm
Make sure that you are loading the correct firmware according to the product family of your radio.
If these do not work for you, please post the full part number located on the white label on your radio. It should start with XB and end with REV