Install the D Cell battery, and then actuate using the whistle lever/button. Note that most all classic transformers have multiple non-obvious positions on whistle control:
Off - No whistle
Pickup- High DC offset just enough initiate the command
Hold - Minimal DC offset to hold the whistle command active and an additional +5V Boost to for older air whistles
The modern electronics generally only react to the Pickup and not the Hold position. You may also find your horns work best in this position.
On the ZW, the Pickup position is selected by pushing the whistle lever partway, but not all the way to the stop. Turn it just shy of the Hold position (just shy of the position that provides the 5V boost that brightens the headlight and speeds the motor).
This is documented in the Lionel literature:
If the control doesn't seem to work for you, there are further troubleshooting steps you can take.
1) Remove the shell and do a very basic check for suspect wires etc.
2) Clean the horn relay contacts with something like a contact cleaner.
3) See if the relay contacts close when the whistle control is triggered.
4) "Shock" the horn into action by giving it a tad more voltage than a traditional D Cell can provide.
In guiding you through this, note that Olsen's kindly hosts the service documents for your EP-5 (Click to expand):
http://www.olsenstoy.com/2352.htm
This is a lot to take in, but please ask questions and we'll help you out!