Apparently this song is about psychologist Stanley Milgram's experiments with authority and obedience.
Wikipedia agrees (click here)
"We Do What We're Told (Milgram's 37)" is a Peter Gabriel song found on his 1986 album So. The title refers to the 37 out of 40 participants who showed complete obedience in Experiment 18.
In really brief summary: In the experiment, authority requires that a test person administers increasingly severe electrical shocks to another person. The goal was to see if/when the test person's own judgment/ethics overruled the authority and (s)he would refuse to administer more shocks.
In Milgram's first set of experiments, 65% (26 out of 40) of experimental participants administered the experiment's final 450-volt shock, though many were quite uncomfortable in doing so; everyone paused at some point and questioned the experiment, some even saying they would return the cheque for the money they were paid. No participant steadfastly refused to give further shocks before the 300-volt level.
"We do what we're told" indeed.
(Note: I don't know how correct wikipedia is about this subject)