When Massacre Wurm enters the battlefield, creatures your opponents control get -2/-2 until end of turn.
Whenever a creature an opponent controls dies, that player loses 2 life.
If a creature an opponent controls dies at the same time as Massacre Wurm, Massacre Wurm's last ability triggers for that creature.
If your life total is brought to 0 or less at the same time that a creature an opponent controls is dealt lethal damage, you lose the game before Massacre Wurm's last ability goes on the stack.
Massacre Wurm's first ability affects only creatures your opponents control at the time it resolves. Creatures they begin to control later in the turn won't get -2/-2.
Massacre Wurm's triggered ability triggers if a creature an opponent controls dies for any reason, including from its first ability reducing its toughness to 0, as long as Massacre Wurm remains on the battlefield.