Creatures that have multiple Wounds take their armour saves just as ordinary troops with only 1 Wound do. If they make their save, they suffer no damage but if they fail, they suffer 1 Wound. Against instant-death Strength weaponry a save can still be attempted (assuming the weapon doesn't have a good enough Armour Piercing value to just punch straight through their armour). If the save is made the shot ricochets harmlessly off the model's armour or cover (phew); if it fails the model is removed as a casualty (urgh!).
Armour Saves and Multiple Wounds
Source: 3rd-A-Palooza (3.5) Rulebook v1.4, p. 11