You can open attached files both within EndNote and in their default program (Adobe Reader, Word, etc.).
Opening PDFs in EndNote:
On the right side of your screen, you can see a preview of the attached PDF when you are in the PDF preview tab. To open the PDF and view it in full screen, click the icon on the left (picture below).
This will open the PDF in full-screen, still within EndNote. Any highlighting, sticky notes, and comments you make will be saved. (Sticky notes/comments are also searchable within EndNote.)