Very easy. Just find any TRAINZ horn sound in CMP, CLONE it, re-name it in the config file (username) with whatever name you'd like to call it, then replace the three wav files with your own. Those three files are: horn.wav, horn_loop.wav, and horn_start.wav.
I'd recommend using the free sound manipulation program "Audacity" to create the three wav files. Seems there have been several threads here that explain in more detail how exactly to create your sounds... do a search. Good luck.
BTW, I've replaced ALL the horn sounds on my locos with my own (which, IMHO, sound much better than any I've found anywhere else).
