There is lots of good advice in this thread. A couple of thoughts though in defence of your players:
I often play the heroic role (where they are available) in computer games, even if this puts me at a disadvantage. I try to be careful to do the 'right' thing and have even been known to restart a level when I accidentally killed a civilian, etc. I remember being outraged when I first played GTA III because I was railroaded into killing a mobster's wife before I could continue the game. I was pilloried for this by a friend of mine who generally plays the villainous option, saying that the villain's role is often more fun, and what am I killing - pixels?
I generally replied with some sort of moral argument, rabbiting on about immersion, empathy and so on, but I have to admit that he has a point. I am not actually harming (or saving) anyone real with my choices, and while the argument might be made that I am somehow hurting or desensitising myself, that is my choice to make.
Suffice to say that playing good or evil in games might well just be a matter of personal taste. Perhaps you simply have more empathy for imaginary people than your players. This is not uncommon - I have no taste for the recent glut of torture-porn' cinema, but their popularity suggest that there are many who do, and I am not going to suggest that everyone who enjoys watching 'Hostel' is depraved (at least, not here - for fear of derailing the thread).
In any case, the point is that when you talk to your players, the high moral ground might best be avoided in favour of simply telling them that the game you are comfortable running is not one in which everyone is killed by the party.
Of course, it may in part be your fault (sorry!). Your players might not care about the killing because there are no consequences for the killing of innocents, or even that the world and its characters aren't 'real enough for the players to treat them as reality. i.e., it may as well be a computer game.
In both these cases, you can improve things by ramping up the roleplaying and the depth of your world.
On the other hand, (in defence of you) your players might just be monsters. The good news is that Role Playing Game worlds are generally the home of heroes; heroes who make a habit of killing monsters - heroes who hear the lamentations of the widows, and respond.
So, when the players start finding pictures of themselves on the hitching post with "Wanted - Dead or Alive" written underneath, they might start changing their tune. When the families of the deceased offer rewards for the execution of the party in revenge for the death of their loved ones, they might start to be more careful. When the PC's learn that Trugarne, the Bloodking of the Devilspawn Orcs has launched an army to destroy their home village - in vengeance for the death if his child at their bloodthirsty hands, they may well say "Damn, I hope we can find us some heroes to help us!"
That said, this is not about being vindictive. It's just that in a real world, your actions reverberate with consequences, both good and bad. Kill indiscriminately for long enough, and it's going to come back to bite you.
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