ME1 SPOILER Wrex gets all angry at something and you have the choice to put him down or talk him out of it. Honestly he didn't seem that angry to me when i played it so I don't know why you'd have to shoot him. But if you don't have a ME1 save file it just makes your ME2 start off as if they went renegade. If you save him in 1 then he's the leader of the Krogan in 2.
EDIT BY BoB: spoiler tags are better than just saying "SPOILER"