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At the prompt press 4, and then select press 1 (the EndNote option).
Downloading Records from PubMed to EndNote
Many information providers have a direct export option that allows you to send copies of references directly to an EndNote library. The direct export process automatically selects an EndNote import filter to map bibliographic information into the appropriate EndNote fields.
The downloaded references from PubMed will appear in a folder called Imported References in the Groups panel. The number of references downloaded from the Pubmed site will match the number of reference that you selected from the PubMed site. At this point, you can move the references to the desired folder in your EndNote library.