There are several threads on installing aftermarket horns and lighting.
There are different types of relays for different purposes. For the horn, you are looking at one of basic 4 pole types.
One connects directly to your battery (+) side. This is the power source.
One connects to to a suitable ground or the (-) terminal on the batt.
One connects to the item that you want to provide power to, i.e. the horn.
The last one connects to the switch circuit, i.e. the horn button.
When you hit the horn button, the horn circuit causes a switch within the relay to close and allow current to flow from the battery directly to the horn. In basic terms, a relays allows you to pass a LOT of power on demand with a low power switch.
As far as your lighting needs, instead of installing a HID system, you really should try to install the Eastern Beaver H4 Headlight Relay kit. It is a simple install and it makes a DRAMATIC difference in the headlight brightness.
just my 2 cents worth...