The horn is supplied with a clamp that suits handlebar mounting but this clamp should be discarded. The handlebars are not the best place for the horn.
The mounting bracket in the headset must be immediately below the handlebar stem. If it the bike in the box has it lower down, move it up so that the horn bulb not will hit against the top tube and come lose.
The horn attachment screw (5mm metric cap screw) must be tight enough to hold the horn in a given spot to prevent it being lose and eventually coming apart. There are hew horns available and they are not expensive.