Sometimes they seem to stick, i've freed off a couple by spraying wd 40 into the opening and allowing it to work in, then dribble it out a day or two later and try it. Of course it could be a fuse, is there anything else not workin on the car, such as the interior light?
Yes, check the fuses, other than that, take the horn off and test it directly from the two terminals to a battery. If it sounds the horn is OK, must be a bad connection or horn push.