Mark each reference to export by clicking in the box to the left of desired references.
From the Send To dropdown options:
Open the file (or alternatively, Save the file to your desktop)
Use the browser's Edit and Select All to select all of the references.
Copy the references using Edit and Copy.
If you chose to Save the file from PubMed to your Desktop, use the From Text File options:
If you used the browser's Edit, Select All, and Copy for your PubMed references:
Click on View Last Imported Folder to view the references and/or move them into the folder/s of your choice.