If you are asked for a product key, you have tried to install EndNote on a Windows device without first extracting/unzipping the downloaded file.
To extract the file, navigate to the zipped folder ENX9_WIN.zip. Right click on the folder and click Extract All.
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Open the extracted (unzipped) folder. It will contain both a .msi installation file and a .dat license file. You will not be asked for a product key when you then run the installation file. After downloading EndNote, you may delete both the zipped and unzipped folders.