Even though a creature might have multiple Wounds there are plenty of weapons in the 41st Millennium that are powerful enough to kill instantly. If a creature is wounded by something that has a Strength value that is double its Toughness or greater it is killed outright and immediately removed. It can be imagined they are vapourised, burned to a pile of ash, torn limb from limb or otherwise mortally slain in a suitably graphic fashion.
Errata — Chapter Approved: Main Rules Clarifications (v2.0): Use the target model's original Toughness for working out instant kills. No modifiers for things like bikes, wargear or other special abilities are taken into account (for example, in Codex: Chaos Space Marines, taking the Mark of Nurgle will add +1 to the model's Toughness as if confers daemonic resilience, but you'd use the original Toughness for instant kill purposes).
EXAMPLE: A Space Marine commander is Toughness 4 and has 2 Wounds. Normally he could survive being wounded twice before being removed as a casualty. However, if he were to have the misfortune to be hit by a Krak missile (Strength 8 – normally used for knocking out battle tanks) he would become a casualty immediately because the missile's Strength is double his Toughness – he just isn't that tough!