Search PubMed. Use check boxes to select references to export. Then:
1. Click Send to:
2. In Choose Destination, select File
3. In Format dropdown choose MEDLINE.
4. Click Create File. 
The file with a .txt extension opens in Notepad. Use the Save As feature, rename the file if desired (keeping the .txt extension) and select a location for the file.
Sign in and open Endnote Web.
In the Collect tab (1), select Import References (2).
Use the browse feature to find the file you saved (3).
For the Import Option, if you have not added PubMed (NLM) to your favorites, do so using the Select Favorites Link. Then locate it in the dropdown menu of Import Options (4).
In the To: section Select the EndNote Web folder for your file (5).
Click the Import button (6). 