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If you are prompted to save or open the file, save it somewhere on your computer where you can find it.
If you download the Windows file, note that it is compressed. Find it in 'My Computer', right-click on the file and use the extract option to extract the installation file.
EndnoteX2 for Windows - 50MB
EndnoteX2 for Macintosh - 62MB
Latest Macintosh Endnote X2 requires the latest OSX Patch - 30 MB
and a Windows Tutorial which uses Media Player - 136MB. Note that the basic Endnote installation will put a text manual on your computer for reference.