You need to melt it out. Using a absorbent white towel place it over the offended area then using a iron on a low setting iron the area to melt the wax into the towel. Do not over heat or it will melt in further into the carpet fibers. This will take some time but it will eventually work its way out. Over heat and it will melt the fibers on the carpet making matters worse. So low temps and go slow.
@Woodbridge Environmental - NO - DON'T MELT IT! That will only spread the dye.
Instead, put a couple of ice cubes in a plastic bag and sit them on the spot for a minute or two, then take out all the red 'crumbs' with the back of a table knife.
Replace/renew the ice cubes until you've got rid of all the wax. Finish off with a dab or two of eucalyptus oil (the smell will go as it dries).
I think @Anna M has a remedy for this. Tagging her so she see's your question.
Who is Anna M?
She is the author of Ask Anna, a blog where she shares cleaning and organizing solutions. She has great tips and advice, and is my go to girl for this kind of thing :) http://askannamoseley.com/
Here's the link @Diane: http://askannamoseley.com/2012/02/how-to-remove-spilled-wax/. Thank you @Miriam I.
Personally, I found that ironing with brown grocery bags works like a charm & u don't have to waste paper towels! use clean areas of the bag. As the bag gets pretty coated with the wax just grab another brown bag. Hope u try! It works well! Can't feel it in the rug when your done.
PLEASE - DON'T MELT DYED WAX - you have to freeze it out. See my reply above...