To get your computer to automatically open files downloaded from PubMed, you have do Send To> Citation Manager>Create File (as shown in image below):
Then, when the file opens, RIGHT CLICK ON THE FILE and select Always Open With and then choose EndNote and then EndNote again. EndNote is NOT shown in the image below, but this shows the “Always Open With” option:
This should solve the issue with having to open EndNote manually every time. However, you WILL probably have to do this each time you download from a NEW database (e.g. CINAHL, ScienceDirect, Embase or another database).