Animal urine can be difficult to remove, and wool rugs can easily be permanently damaged. The best defense is to deal with the contamination immediately, while it is still fresh.
DON'T USE AMMONIA!! There are properties in stale urine that cause an ammonia smell and that is what turns the carpet yellow.
The following steps are a basic approach to remediating the urine in your rug:
Step 1: Place a thick wad of white paper towels on the 'spot' and soak up as much as the towels will take. Reapply towels and do this until you can't get anymore moisture out. Apply gentle pressure, don't push it into the backing. If you can get at the back of the rug, put towels under there as well.
Step 2: Put some cool water in a bucket and add one tablespoon of white vinegar per cup of water. Dampen the area with a sponge saturated with the mixture.
Step 3: This time use a white folded terry towel and blot the area until you can't get any more moisture out. The vinegar will help to neutralize and dilute the urine.
Step 4: Dry the rug as soon as possible by propping up the rug and placing a dryer/fan under the rug and another blowing on the top.
Note: This is a quick fix to hopefully prevent more serious damage. Always call a professional to deal with urine issues if you can. In the meantime, prompt action is crucial. Good Luck!