In early versions of EndNote, you chose between using a single library or multiple libraries for different projects.
You can still use multiple libraries, but it may be simpler and (especially when using Cite-While-You-Write) more efficient to use groups.
In an EndNote library go to the top band and choose "Groups", then "Create Group" and name the group. Highlight the references you want to belong to the group and right click to "add to group" You may also drag and drop the highlighted references into the group. You may also use copy and paste.
You may select a number of references by highlighting them, and with a right-click create when prompted a group for the highlighted records.
You can assign a record to multiple groups.
Removing a reference from a group only removes it from the one particular group. It does not remove it from other groups or from "All references."
There is another utility called a "Smart Group". This allows you to assign a keyword or term in a field to a group and any record in your library and any record later imported will become a member of that group. Take care, though, because if you remove a reference from a Smart Group, you also remove it from All References.