To export your references from RefWorks to EndNote, first, you have to create a formatted text file in RefWorks by going to References > Export, ensuring the Bibliographic Software option is checked.  Then save the exported references to a text file by selecting File > Save As.

If you are using EndNote desktop, once you have saved the text file (remembering where you saved it to) you should be able to import it from the File> Import menu in EndNote.  

For full instructions see EndNote: Converting from RefWorks to EndNote