It's been a long time since I watched the X-Files, and the details of the larger metaplot were never exactly spelled out during the course of the show, but here are some pertinent details that I seem to recall:
(Apologies for not taking the time to re-watch the show and nail this all down more formally, but I'd basically have to rewatch the entire show to put all the pieces together again.)
1) Krycek worked for Cancer Man and his little clique ("The Syndicate" IIRC)
2) There was at least one group of aliens working to secretly invade and terraform the Earth for their own purposes. (The Black Oil, which had in turn infected the Greys before coming to Earth.) There was also an alien resistance faction of (I suspect) pure Greys.... It was complicated, and like I said, none of this was directly explained.
3) The Syndicate was a group of influential people who originally made contact with the aliens (the Black Oil-infected Greys) and negotiated some sort of truce to prevent them from openly invading and destroying our species in the past.
Hopefully this isn't a spoiler by the end of Season 8, but it might be:
4) Part of that truce involved each member of the Syndicate giving up a child to the aliens. This is incidentally why Samantha was taken, because Mulder's father was also somehow involved with the Syndicate.
5) The Syndicate actually did have a plan to overthrow the aliens (which was never fully detailed that I can recall) but it was still a work in progress throughout the run of the show. I think it had something to do with sabotaging their efforts to terraform our atmosphere and therefore leaving them inclined to abandon the conquest of our planet. (This is what the bees were all about in the first movie.)
6) Mulder's continuing efforts to uncover the truth about his sister's disappearance were starting to undermine the aliens' goals and threatening the truce that the Syndicate had negotiated.
7) However, for some reason, the Syndicate was unwilling to simply sit Mulder down and explain what was happening - we gather from Cancer Man's various (and terribly vague) comments that Mulder was an important part of their plan, and his ignorance was presumably a prerequisite.
8) At the end of season 8, Mulder's interference was reaching a crescendo, and I suspect that's why Krycek was sent/decided on his own to kill Mulder. Krycek had been infected with the Black Oil (and I don't recall if he was ever properly cured), so he may have been acting on their orders to stop Mulder rather than the Syndicate's.
So, to answer your question directly:
When Krycek says "1 bullet will save a thousand lives" he's referring to the fact that if Mulder isn't stopped, the truce will be broken and the Black Oil-infected aliens will invade full-force. Really, "thousands" is probably a low-ball estimate for the casualties involved, but it was an emotional moment for all involved.
Alternately, he may be surmising that in order for the truce to survive if Mulder keeps digging, the aliens would demand retribution in the form of more sacrifices, which would result in "thousands" being lost.
At least, that's what I THINK was going on. If there's one thing I know for sure about the X-Files, it's that nothing is certain.
