Look for the fuse box in either the glove compartment or the rear offside trim cover where the battery is. Your manual should tell you this. There should be a list of what fuses there are and ratings. If the horn fuse is blown you are on to a good start. If a replacement blows again or original wasn't, it's best in the long run if BMW dealer sorts.
Steering wheel horn buttons have explosive airbag so also best left.
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