The fuses are in the fuse block, which is at your left knee, on the firewall, way at the front under the dash.
The clicking sound you hear is probably the relay (for each). The relays are behind the knee-panel under the stering wheel. (Keep pushing the horn, and follow the clicking sound...) On my '96, the relay block is velcro'd to the inside of the knee panel.
Fuses are wicked cheap, so yeah, start there. If the fuses are OK, check the relays. (Easiest check is to swap relays from one location to another. If memory serves, there are a few of the same type relay used on that block, for different things. Just switch positions.)
If the relays are good, check grounds on both circuits. A bad ground took out my horn a while back (more accurately, a corroded horn that was grounding out- the horn is its own ground - one wire to it, not two) I don't have power locks, so I don't know on that one for ground issues.
Good luck.
