Depleted uranium is used generally for making anti-tank shells. As uranium is one of the heaviest substances around, it impacts with great momentum, much to the detriment of the target.
One of the best ways to protect against these shells is to have explosive panels on the tank that explode outwards, much diminishing the momentum of the shell. Not surprisingly these shells are not good for the environment as they result in sprays of still somewhat radioactive uranium all over the battle zone.