Advice from the Technical Support Team solved this:
"The first thing to do is to repair EndNote to make certain that all the registry entries are properly set.
To do a repair, exit EndNote and then click on Start > Control Panel > Add or Remove Programs. When the list of programs comes up, click on EndNote 9 and then click on the Change button.
When the Application Maintenance window comes up click on Repair.
When the repair process is finished you can open the Internet Explorer and try the direct export."