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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. If you try running the installation file without doing this, it will fail.
EndnoteX3 for Windows - 50MB
EndnoteX3 for Macintosh - 62MB
See the installation pages for installation instructions.Macintosh Endnote X2 requires the latest OSX Endnote Patch - 30 MB
If you want to know more about this patch and how to deploy it, instructions are available on the Endnote support site. The notes refer to 'the Mac OS X Patcher file': this is the file downloaded from the link above.
Also available is a Windows Tutorial which uses Media Player - 136MB. Note that the basic Endnote installation will put a text manual on your computer for reference.