ok on the top of the relay shows you what connections are what. 85 and 86 are the contacts to the coil, connect the diode to those two contacts. the other three are going to be for the horn. 87 and 87a are your SPDT (single pole, double throw) contacts. One is normally open meaning NO connection to the common contact (that is the 3rd contact of the 3 contacts), it should also be numbered (look on top). the other contact is your normally closed contact that IS connected to the relay when the relay is not in use, or not triggered by the coil.
It should say which contact is NO or NC on the top in the picture. You want the horn to only be triggered when you tell it to by the arduino, so you will wire it like this:
NC o o NO => to horn, other wire to ground (only triggered by ard)
\
o <==12V (common)
(Ard) coil o====o coil (ground)
--|<|-- (diode)