If you can activate the horn by direct grounding the treminal on the relay that usually grounds through the horn button, then you know that the relay is ok, and that the problem is in the column.
If not, then suspect the relay like steve said.
You can check the column by prying the button out of the center of the steering wheel, pull the brush out of it's little hole and check it out. It should have a spring loaded button on the end. If not, it's worn out and needs replaced.
The steering wheel hub should be grounded all the time. If not check the wires that should be bridging the rubber joints in the column, out in the engine bay, and the ground strap on the steering rack.
Check the other side of the circuit by reinstalling the brush, and checking continuity from the brush to the terminal on the relay. Most common problem if there is no continuity is the bullet connector coming out of the column under the dashboard.
good luck