EndNote is asking you for a product key code because the files were not properly moved to your desktop prior to the installation.
Make sure you follow Step 2 of the installation instructions:
- For Mac: Save the EndNote20SiteInstaller.dmg file onto your desktop. Then, double-click EndNote20SiteInstaller.dmg to start the installation process.
- For PC, save both files (EN20Inst.msi and License.dat) from the zipped folder onto your desktop. Then, double-click EN20Inst.msi to start the installation process.