While there are many complications that can arise, depending on the wound's location, the first tasks are:
a) ensure scene safety
b) put on gloves if you have
c) stop bleeding
If you have no medical supplies, act swiftly to apply as much pressure into the wound as possible. Lean into it. You are buying precious time for paramedics.
The femoral artery is located on the inside of the leg. While applying pressure, find the fold between groin/leg. You or another can drop a knee on it. Push.