Diapers should be changed every 2 hours at least. You don't have to change every time they pee.
If you changed your baby every time he/she peed you'd never get anything done and you'd go through a lot more diapers.
Disposable baby diapers these days absorbs tons of urine and keeps it away from babies skin.
You shouldn't let a baby sit in a soaked diaper all day but you certainly don't have to change every time they pee.
When they poop in the diaper then you should change it as soon as you notice it.