By horn, do you mean a "real" horn ? If so, then one way to do is is this a "Signal Module". This is a card that goes in the WinCC station and closes a relay when an alarm comes in. It can be configured to respond to specific alarms or entire alarm classes.
If you've got v6 or newer of WinCC, you can also use the Horn configurator within wincc explorer, and either map it to an internal tag which can be used to sound a Wav file on the WinCC station, or map it to a tag in the PLC which can trigger an output.
If you've got an older version of WinCC such as v4 or v5 then you'd need an add-on called "Audio Alarm" to do this, if it's still available.