[Longhorn Man]

does it click when you depress the horn button... or did it click once when you hooked it up and that was it?
If it clicks when pushing the button, then the column and wheel are wired properly.
If it only clicked upon installing and hooking it up, then your button isn't done right. The grant kits are on the chintsy side of things.
The click you hear is the horn relay. The fact that it clicks says that the ground circuit from the switch (horn button) is being completed, and the horn should be honking.
The problem with the horn not sounding off is south of the relauy... not plugged into the horn, horn not grounded good enough, horn is dead/packed with dead wasps.