If a warrior is fighting with a hand weapon and a shield, then he has a 6+ ward save, representing his chance to parry the blow – even the mightiest axe strike can be turned aside at the last moment if the timing is right.

This parry save only works against attacks made in close combat. It cannot be used against attacks made against the warrior's flank or rear (he doesn't have enough freedom of movement to turn around quickly enough), nor can it be used against Impact Hits or hits from Stomp attacks (there's no parrying something that big)

As a final caveat, the parry save cannot be claimed by Frenzied warriors – they're far too bonkers to think overmuch about their own personal safety – nor can it be used by mounted models.