If EndNote Desktop is asking you for a product key, it may be one of two things:
You separated the .dat and .msi files. Both files need to be in the same place for you to install EndNote Desktop.
You haven't extracted the files from the .zip file. Instead of double clicking or trying to open the .zip file, right click on it and click on "Extract all" from the pop-up menu.
If you are still having trouble with your EndNote installation, please request an appointment with a librarian here.