When you insert a figure, EndNote copies the figure file and places the copy in a [library name] .DATA folder, which is found in the same folder as the main library file. The copied figure file is specifically linked to a single EndNote reference.
Note: Simply putting a figure file into the DATA folder does not link it into a reference. You must use the Figure > Attach Figure command.
If you move your library to a different computer or if you want to share your library with someone, remember to always copy the .DATA folder along with the library.