Yes:
Open the config.txt of the loco and look for the "hornsound" entry. Change the existing hornsound kuid to the kuid of the hornsound you want in place of it.
If you're unsure, find a loco with the hornsound you want, copy the full hornsound line (e.g. hornsound <kuidx:xxxx:xxxx:x>) from it's config and paste it into the config of the loco whose hornsound you want to change (making sure to remove the original hornsound entry).
If you're running TRS2004, delete the dispatcher.chump file in the Trainz cache folder. For TRS2006 & above, i'm not sure whether you have to go into CMP and commit changes or not (I don't run TRS06), some nice 06/TC user will know better.