If you are having trouble automatically importing your citations to EndNote, try this workaround. Begin by clicking "Save File" when the dialog box appears. Save the citations.
Then, go in to EndNote Dekstop, select the File menu, and click "Import".
You will then be asked to select the file you wish to import, and the import option. You must choose the right import option. Most often, this is "Reference Manager (RIS)", but if you select "Other Filters", you will have many more options, such as PubMed.