If you can't figure out how to do this, you must be using Word 2002 or 2003,
which makes it virtually impossible to get to these "hidden" styles. Even if
you select All Styles in the Styles and Formatting task pane, you still
won't see Endnote Reference even when the insertion point is in an endnote.
For help, see
http://www.ShaunaKelly.com/word/sfpane/StylesAndFormattingPane.html
If you're using an earlier version, just use Format | Style, select the
Endnote Reference style, and click Modify...
If you find the task pane in Word 2002/2003 unsatisfactory, you can do what
I have done: Add Format Style back to the Format menu or a toolbar (I have a
toolbar button). This gives you direct access to the dialog.