You have the main folder, and a "horn" subfolder, right? You have your start.wav, idle 1.wav, and stop.wav in the "horn" subfolder. The config and bell sound (also titled idle 1, same as in a regular one- or two-part hornsound) go in the main folder as usual. Don't forget to put "three-part 1" in the config.
EDIT: Per your other issue on the other thread, How long is your start.wav file? If it's less than 1 second long, it will have a pause between the start and end. If you can, keep the loop and end short, this should make up for the long start if you're blowing short blasts. Also, I've tried echo before, you often cannot blow the horn again until the end of the stop.wav file, so beware how long and wet you make that echo!
Hope this helps.
