You can connect directly to library catalogues and databases from within EndNote, but you lose the powerful, fine-tuned search options available via database interfaces.
However, some sources do not support import filters. In those cases, connection files are the only way to extract citations.
University of Melbourne Library Catalogue can be searched using a Connection File:
Go to Tools > Online Search and the Choose a Connection window appears. Choose a library catalogue, then it will appear permanently listed in your side menu bar under Online Search