EndNote will store your references in a "library" (a collection of citations) that you create. You can use separate libraries for different subjects or projects, but unless you have very extensive projects, you will probably find it more beneficial to keep all your references in a single library and use the "groups" function to make separate sub-collections. That way everything is in one place, and will make locating the needle in the haystack much easier.
To access this library later, choose File from the main toolbar. Choose Open Library, and find your library.