Try going through the instructions on the Endnote websitehttp://www.endnote.com/support/faqs/CWYW/faq1.asp#macENX1WORD2008 - note especially the SP1 (12.1.x) update for Word.
Try going through the instructions on the Endnote website.
Safari only seems to download citation files to the desktop; they then need to be click-and-dragged into Endnote. Instructions here suggest a fix but I haven't been able to investigate yet - it might only be a partial fix. If you can bring yourself to use Firefox, it works a lot more smoothly.
The first time you export citations from a database it asks you whether to open or save. Choose "Open", then browse to find Endnote X2, and make sure to click "Do this every time" before clicking "Okay".