A Wall of Light is an electrified gate/doorway that will kill any enemy that passes through it, but by default are controlled by the enemy guards. The first opportunity that you have to kill an enemy with one is at the very beginning of Mission 2: High Overseer Campbell. To do so you must use a Rewire Tool on a Security Door Panel, which will allow you to walk through the Wall of Light and simultaneously kill any enemy that approaches.
After loading up Mission 2, walk up the stairs until you see the Wall of Light on your left. Just to the left of it is a grey guard booth that has a Rewire Tool hidden in it. Grab the tool and walk to the right side of the Wall of Light, where the Security Door Panel is located. Access it by pressing then rewire it by pressing yet again. The Wall of Light will now kill enemies that come in contact with it.
To get an enemy to interact with the wall you can use several methods:
Windblast them into it
Alert them to your presence while standing behind it (shoot a pistol, hit them with a crossbow arrow, be in their field of vision, etc.) and they will run into it
Throw an unconscious enemy into it
Possess them and walk right in front of the wall, then release them
To see a complete walkthrough of the method as described, please see the video below: