Each on-line database you work with will have slightly different steps to export your references into EndNote. Generally, however, it is as simple as selecting the references you want to add, then locating and clicking on the export icon or link.
Use these links for tutorials on direct export in specific databases:
Direct export into EndNote is slightly different with Firefox than with Internet Explorer. This tutorial by EndNote includes instructions on setting up Firefox to work with the file types compatible with EndNote's direct export feature. It shows both the Macintosh and Windows versions of Firefox and its settings.