Horn - Relay or Wiring? on 1998 Saturn SC1

Hello, I've had my car for about 3 years now, my brother had it before I did since '99. My horn hasn't worked ever since I got the car. I changed the fuse, and the horn honked once. Then I tried it again, and it didn't honk. I changed the fuse again, just to see and it snapped immediately. I figure it's a wiring problem, but almost everybody I know is telling me it's most likely a relay.
Where is my relay located, and what do you other owners think it could be?

Asked by for the 1998 Saturn SC1
The horn has a relay built in. As far as I can tell, Saturn has been the only company on earth to do this, and they didn't do it long (It's a bad idea). On a 97 SL2, it is under the driver's side headlight (which is held on by two screws). There are three wires going to it. One is 12V all the time, one is a ground, and the third is the "command" wire (hits about 0.1V when you hit the horn. The new part is about $85, but I am going to get a relay ($10) and wire it in. I've heard that is the way to go.
2 more answers , 3 more comments
Does the fuse blow only when you honk the horn? If so, it is very likely that the horn is bad. If it blows when you put the fuse in, then you may still have a horn problem, but it could be the wiring too. And there is no relay in the horn system, so that isn't it.
Unless the wiring diagram I have is wrong, or there is a relay integrated into the horn, then I believe there isn't a relay. Try disconnecting the relay and the horn, but a fuse in, if it blows, it's a wiring problem. If it doesn't blow, plug the horn in and then the relay. The fuse will blow when you plug in the faulty part. Make sure you don't use a fuse with a higher rating.
There's no relay at all? One guy said there was a relay right on his horn for his 96 Model. It won't hurt to check I guess. The fuse blows the second I put it in the fuse box.
Awesome, I will try that tomorrow. If it works I'll let you know what was wrong, thank you :)
I have a similar problem in 2002 SC1. How did you fix yours?