You need to create an EndNote library to store your references. Although you have the ability to create multiple libraries, it is highly recommended that you only create and work from one library to avoid unnecessary complications.
Your EndNote library consists of two files: a .enl (EndNote library) file and a .Data folder. It is important that both of these remain together in the same location and that they use the same name. Your EndNote library will not work if the data folder is deleted or separated from the .enl file.