If you are using a footnoted style, such as Chicago, there will be an extra step involved in inserting a citation.
To insert a citation into a footnote you will need first to create a footnote by using the Insert Footnote function on the Reference tab in Word. Then, find the citation and insert it the same way you do your in-text citations. A corresponding entry will be added to the bibliography.
Note: It is vital to select a footnote style when you want to insert footnotes. You can change your citation style using the dropdown menu in the EndNote tab in Word.