Well, you could put your old one back in and see if the horn works then? What brand was the relay; some people, have had problems with non oem relays/parts. You could also; hook up your horn to the battery and see if they work. Start with the basics; see if you are getting power and check your fuses. Check out the manual for troubleshooting and repair, info:
Volkswagen Workshop Manuals
Volkswagen Workshop Manuals