In EndNote, there is a Connect option in the Tools menu. The connect tool only works with publicly available databases such as library catalogues, PubMed, and ERIC (OVID) but not with any other databases. All other databases must be accessed though the library website.
Online Search
This feature allows you to search some online databases through EndNote and then directly import citations. This method is very fast, and is good when you are searching for a known item. For more sophisticated searching (keyword etc), you'll want to use the database interface. PubMed is a resource you can search through the EndNote interface. This video will demonstrate how the feature works.