Perform your search in PubMed, check the box to the left of each citation you wish to export. Go to the “Send to” drop-down menu on the right, select "Citation Manager" from the PubMed window. Then, click the "Create File" button. How the file is handled after clicking "Create File" depends on what browser you are using.  A dialog box may appear prompting you to either "Open" or "Save" the text file.  Click "Open" and depending on the browser used you may be prompted to select EndNote from a list of available programs on the computer.  Click "Save" and you may need to first click the browser’s downloads bar or button, or be prompted to choose between sending the references to EndNote or EndNote Web, select EndNote if prompted. 

See the PubMed section of the library's EndNote guide for more help.