To import a citation from Pubmed to Endnote, just do the following:
1) When you have the Pubmed abstract onscreen, click on send to (top right).
2) Click on the option File from the Choose Destination options.
3) From the download options, choose Medline
4) Click on Create File.
5) The file will download and then you need to open it with Endnote.
6) You'll be prompted to choose a download filter. Search for and select Pubmed.
7) Click on Ok and it'll import.
That all sounds a bit long winded and there's actually an easier way. Just go to tools, select online search and choose pubmed. You'll automatically be able to search the Pubmed database and import whatever references you want.
:-)