Q. How do I download citations from PubMed and then import them into EndNote?

These features are still in there, but the new interface does not make it immediately obvious.

After you have all the PubMed results displayed in the browser, the click-stream is:

1 - Click on SEND TO....Choose Citation Manager

2 - From there...You will see a drop-down option for "SELECTION"... Here you will have the option to export ALL results (or just one page, or just the checked-items)...

3 - The file that will be downloaded is "pubmed-[subject]-set.nbib"

When you double-click on that file, it should import into EndNote. [If not, you might need to choose the EndNote Library after you double click on the file]. If you would like to open the file and save it to a different citation manager, right-click on the file, select "Open With," then click on the citation manager you're using (you may need to change from "Recommended Applications" to "All Applications"). 

This video takes you through the steps of saving your PubMed results to EndNote:

And this video walks you through the steps of saving citations from PubMed, and then importing them into Zotero: