Mr. Vines - I have a similar problem. Just bought a 2006 Z4 out of GA and the horn doesn't work. Why would it? Checked fuses. Good. Checked power across the two fuses. Power to both the 5 and 15 amp fuses (14 and 37, respectively?). I could hear the relay clicking when I tried to honk the horns. Thought it must be a relay and everyone said the same thing. Took the fuse board out of the car completely (with the relays on the back). The K2 relay for the horns turns out to be an "internal" relay. I didn't know this until I took the cover off of the board. In other words, that relay is soldered onto the electrical board/BUS/whatever you want to call it. Hmm. At any rate, I put everything back inside the car and unplugged a lead from the driver's side horn, jumped a wire across it and tested the horn. Of course it failed (it was supposed to) AND the 15 amp fuse burned out. Good sign! That means that the contact where the airbag/horn switch sits works correctly, the relay works correctly and the power goes through the system as it should. I am going to replicate the test one more time (burn out one more 15 amp fuse) and then order new horns. Likely Hella Supertones. This car is going to be loud.
Hopes this helps anyone else looking into the same issue.