I am a beginner on programming ZigBee, I would like to know what kind of things do I have to watch out for? I know how to program in C, C++ and C#.

Also, where should I start first, like how can I download my application onto the device etc


Read the threads Starting From Nothing, and XBEE-PRO ZB Programmable Getting Started.
It gives you some links and helpful hints to get you started.