To install the MS Word plug in, either download it from Mendeley's website or go to Mendeley Desktop and click "Tools" and then "Install MS Word Plugin".

When installed the plugin will appear as below in the "Reference" tab of Microsoft Word:

Note: There is a slight difference with MS Word on Mac as the Cite-O-Matic will appear as its own toolbar.

Mendelely automatically generates a bibliography with the click of a button. In the Mendeley Cite-O-Matic, simply select "Insert bibliography".

Click View → Citation Styles → More Styles to search for citation styles on Mendeley Desktop. 

Start editing your own citation styles with the open source Citation Style Editor. To get started we recommend this tutorial.