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After you have set up your preferences, then highlight the references you wish to find the pdfs for. Then click on the search icon and Endnote will search the internet for the full text pdfs.
How to copy PDFs to your EndNote Library
In EndNote, go to Edit, Preferences (on a MAC, go to Preferences), then select "PDF handling." You may choose to rename your PDF and you can choose a folder on your computer (including Dropbox) where you house PDFs and have them copied to your EndNote library. If you select "enable automatic importing," each time you add a PDF to the selected folder, it will be copied to your EndNote library. EndNote does this through the DOI, so any PDF without a DOI will copy the pdf only, without any part of the reference added.