Which output style file are you using? Presumably it’s a numbered style – to group citations you need to modify* the citations “Numbering” setting to include “Use one number for references cited together”. (Refer to the attached image.)
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*Go to the Endnote toolbar and select Edit >Output Styles > Edit [name of your output style]. In the output style’s dialog box locate the Citations section and click to select “Numbering”. In the right section of the dialog box check the box for “Use one number for references cited together”. Exit the.box which will save the change to a new style file having the word “Copy” added to the name. Change the MS Word setting to use the new output style.