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: Core Rulebook 3E, p. 53
Multi-Wound creatures take armour saves as normal, including against Instant Death hits, losing 1 Wound (or being removed) if the save fails.