horns break off and get lost all the time. if you arent sure what you are doing, I'd reccomend taking the locomotive into the hobby shop and asking their advice. There are many options in horns, and I would just choose a new one that looks good. usually, horn details are just pressed into holes in the locomotive shell. If the old one simply fell out, you may be able to simply buy a new one and press it in. If the old one broke off, you may need to re-drill the hole before installing the new horn. A hobby shop should be able to help you with that.
kevin