You can apply compresseded foam insulation right against the concrete walls. Do not put any vapor barrier between the foam and the concrete. The vapor barrier should always be between the heated space and the insulation. You won't get much r-value from the foam, unless you use multiple layers. In the NE the preferred method in a basement is to fir out the walls with wood or metal studs and use conventional fiberglass insulation with a kraft paper vapor barrier. You should also contact your local building department to see what recommendations or codes they have.