Each wound suffered may be cancelled if the controlling player makes a saving throw. Models that are wounded still have a chance to avoid a grisly death by 'saving' the wound. Hand your opponent all the dice that scored successful wounds – they then roll these in an attempt to 'save' their models. If they roll equal to or greater than the model's save, the wound has been deflected by its armour or some other form of protection.
Each save will be written like 6+, 5+ and so on, indicating that you need to roll a 6 or higher and a 5 or higher respectively to save the Wound.
All saves from various equipment or special rules are cumulative, so you can combine various types of armour for instance. For each 'point' of a save, you may add +1 to the total save, which means the score it needs to save is reduced by 1.
For example, a model with a 6+ save (or +1) that adds a piece of equipment that gives a 5+ save (or +2), will have a total of a 4+ save (or +3).
Note that a save of any kind can never be better than 1+. This does not prevent a model having items or special rules that would take the save even lower, it simply caps the saving throw at 1+. Also, remember that a roll of 1 is always a failure.