Basic Q: Is module behavior actually different firmware, or just config?

I bought a bunch of XBee 2.5 modules. I’m a little confused by how the X-CTU software operates. It has a drop-down list for various behaviors: coordinator, end/router, AT, API, etc.

Are these things really different firmware, or is it just dependent on the various settings? I don’t have a machine running windows, so it’s a bit of a pain for me to update the firmware. However, using the AT commands is reasonably easy, and the host software I’m working on can just as easily use the API interface. Can I just adjust configuration settings to get the various behaviors (coordinator, end point, router) and interfaces (AT vs API)?

If so, what are the settings that make a device act as a coordinator? Those don’t seem to be clearly spelled out in the documentation.