The horn does not have a fuse, it uses a relay instead. If you are facing the front of the vehicle, the relay is (at least on my 2000 Sahara) the one nearest you on your right-hand side in the...
The fuse box is behind the glove box (jockey box). Open the glove box and take it out by releasing strap on the right side. Pull glove box out and there is yours fuse box