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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.
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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".
"There are no references selected in the frontmost EndNote library"
If you get this message while trying to insert references into a Word document, you've probably saved your Endnote library as a "package". Solution: Open your Endnote library, save as new copy, but don't "save as package". This will create two files instead of just one 'package', but it solves the problem of adding references to Word.