The key to understanding something is to start with the definitions. "Wrong" must be defined, and that is usually the hardest thing for anyone to do.
The key to understanding the rightness or wrongness of anything is to know what it means to be right or wrong. People have a gut feeling about what rightness or wrongness is, but most people never actually bother to define it. Some people say there is no right or wrong, just people making arbitrary definitions and that's what we live by (which is a common view of government). Others say that there is something intrinsically right about some things and wrong about other things. Others claim that rightness is a universal standard but that it can change and others claim that it is simply a reflection of the society where that standard is implemented (this argument largely boils down to the arbitrary definition idea.
After defining wrong, there's still the definition of murder. Most people agree that there's a difference between killing in self defense and killing to rob someone. Is it possible that people can kill in self defense and still murder? It probably depends on how you define the word. While there are lots of ways to define murder, I personally define it (and note, this this not the legal definition of murder - legal definitions are a whole other beast all together) as "killing another for personal gain". With pure self defense you don't gain, you simply keep what you already had (your life). "Gain" can mean anything from money to power to revenge. Sure, there are a bunch of potential exceptions to this definition, but I won't go into them.
Now, then, why is murder wrong? For murder to be wrong, killing someone else for gain must include some aspect that satisfies a definition of "wrong". Pick any of the ways that I've indicated on how to define "wrong" and then explain what wrong is and then explain why murder is then wrong.
Now, I'll give my simple definition for "wrong": rejecting truth. Truth is knowledge of things as they are. I could explain more, but I won't for now.
For murder to be wrong, then, it must reject some truth. The truth that murder rejects is that a person is one individual among many - that person-ness (what makes a human a person) is dependent upon others to exist. By killing another for gain an man is rejecting his dependence on others for existing and in the process eliminates a part of what makes himself a person.
Why, then, is murder any worse than simply running away from and abandoning everybody else. For one, it is because murder is permanent while simply distancing relationships is temporary. Secondly, murder is also worse because it affects more than just the murderer. If John runs away from everyone he knows, he affects himself the most and then he also affects the people who knew him. If John kills Bill, then John affects Bill completely and irrevocably and also the people that know Bill - his actions are no longer limited to himself. Finally, there's the influence of government, which is a completely different topic.
So, that's my short answer on why murder is wrong. It's not my only answer (though it is the one I find the most convincing), I also enjoy attacking the problem from other angles (including the arbitrary definition angle).
Hopefully, if anyone actually reads this, they will disagree. I really like to hear different viewpoints and I would love to see some better answers.