a turn on the led and a few seconds the led turn off automatically, and I need to stay on.

to configure the xbee s2, with xbee explorer and arduino shield explorer regulated, I try to on the led.
but only about 4 seconds is on and then turn off.
What params to set or configure to stay on,

If you are using remote AT commands, make sure you write the parameter to flash. Try also disabling the internal pull up / down resistor for the line in question.

Yes, I change the mode of receive xbee, when the xbee change to sleep, automatically the led turn off, when I change this parameter this module not stay on sleep mode and the led stay on every time when I need. I know the protocol zigbee one of this avantage is the low power used, but in this form I force to used more energy because the microcontroller not stay on sleep mode. If I could maintain on any pin of this xbee. and the other parts continue to sleep, if possibly??