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Save the file 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
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