Source: Warhammer Fantasy: 4th Edition

Armour (Hand-to-Hand Combat Phase)
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Models that are wounded still have a chance to avoid damage if they are wearing armour or carrying shields. This is exactly the same as described for shooting, and the same rules apply. For each wound suffered the player rolls a D6. If he rolls greater than or equal to the armour saving throw of his troops then that wound has been absorbed or deflected by the model's armour.

For example, an Elf wearing light armour has a saving throw of 6 so you will need to roll a 6 to save him. If he had a shield as well he would save on a 5 or 6, and so on. Re-read the section on armour and the description in the Shooting section if this is not completely clear.