Combine wild rice and water in a medium saucepan; bring to a boil. Reduce heat; cover and simmer 25 minutes. Set aside.
Sauté mushrooms in butter until tender. Add mushrooms, seasonings, and egg yolk to rice, stirring well. Spoon dressing into a lightly greased 1-quart casserole. Bake at 350° for 20 minutes or until thoroughly heated.