In many of the databases you will need to save your references as a .txt file and them import that file into EndNote. How you do this will depend upon the type of computer and operating system you are using.
Exporting From PubMed video
Mark titles of interest by checking the box next to the title
Click on the Send To from the drop down menu
Select the Citation Manager button
Select Create File [it doesn't display until you select Citation manager]
Depending on your version of Windows you may see the image below, or something like it. If you don't see this image look for the letters "RIS"
Click on it and the citations should display in your EndNote Library.