Easy enough, shoot through something, can be a door, a window (with glass in it), even certain walls or vehicle armor.
As shown here you can punch through almost anything in this game and the penetration is tied to the density of the material:
For example you can punch through a lightly armored vehicle at short range with the M82 Barret......or you can punch through at least 1 Plaster wall with most rifles at shorter range. The bigger the bullet the better the penetration.
A test can be found here:
Or a demonstration of the feature during gameplay. With recommendations of which guns to use.