Perform your search in Web of Science.
Internet browsers (Chrome, Firefox, Edge, etc.) works differently when exporting and downloading. In newer versions of Chrome look in the upper right of the browser window for the Downloads icon.
To bypass having to click on the downloaded file in the future right click on the downloaded file and select Always open files of this type. Now when clicking the Create file button referenced above the PubMed references will directly be sent to EndNote.
The Web of Science citations will be exported into an open EndNote Library, and placed in EndNote’s Imported References group.