Audio warnings are used in military aircraft to convey critical information. Missile Warning Systems (MWSs) produce audio warning sounds to alert the crew of a missile attack. To be efficient, the MWS warning sound must not only be detected by the crew but must also create an urgency to react. This paper presents an experimental study on the perceived urgency of the audio warning generated by actual MWSs installed on military aircraft. The study was also designed to determine if varying acoustical parameters of the warning sound has an effect on the perceived urgency of MWS sounds. Twenty-three volunteer listeners with normal hearing capability participated in this study. The results of this study indicated an immediate need to improve the urgency-encoding of actual MWS warning sounds and the perceived urgency of MWS warning sound can be easily manipulated by either varying the fundamental frequency or by applying a frequency modulation to the warning sound. These results will be presented and discussed in this paper.