Exporting from PubMed to RefWorks can be done by following these steps:
1) Select all of the citations you want in PubMed.
2) Click on the Save button in PubMed:

3) Under Format, click on PubMed then the Create File button:

4) Try saving the PubMed file onto your computer.
5) In RefWorks, click on the Add icon then Import References:

6) Select the file you want to import.
7) Select the Import button, and then which folder you would like the references in.