Capture Reference is a bookmarklet that is supposed to detect the references on a page in your browser and allow you to download them into either your Endnote Online or Endnote Desktop account.
The bookmarklet is not able to detect references on most databases, although it does work with PubMed. If the bookmarklet can't detect any references, it will open a new record so you can enter the reference manually. In general, just importing references into Endnote will be faster, but the bookmarklet may be helpful if you want to enter a citation for a regular webpage (you will be to enter the citation while looking at the webpage).
If you have purchased Endnote Desktop, the Cite While You Write plug-in for Word will download automatically when you download the Desktop program. If you are using the free Endnote Basic version, you will need to download the Cite While You Write plug-in separately. To see how, see the Cite While You Write Plugin page on this guide.