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I know what you guys are talking about because I've done the same myself. Thankfully mine only lasted 1/2second and didn't burn anything. It's because your steering collumb is -ve and the wire is +ve so you're creating a short to ground which is carrying a huge ammount of current (more than the wire can handle so the copper inside the wire heats up and sets the sheathing on fire)
You can still wire the horn up easily! I'll get some photos for you of how i've done it on my momo.
ideal,look forward to this so i can wire mine