That screw makes small adjustments inside the horn. Mark the position of the slot. Then turn the screw a bit in each direction. Connect a battery or another source of 1.5 volts DC. See if the horn works. Don't turn the screw too far or it may damage the components. Postwar horns are actually buzzers. They need to be precisely aligned to work.
I have heard of higher voltage (up to 20 volts DC) as "shock" treatment, but an old postwar horn may not be able to handle that.
Look for rust or corrosion where the wire from the horn relay enters.
Also be certain the horn has a good ground.
In theory, those horns can be taken apart. But bending those tabs is tricky. And only an expert can put a horn together again.
I think that someone takes horns apart, fixes them, and sells them. He waits until he has a bunch on hand. Do a Web search of "Lionel Postwar Horns." The name should come up.
Some horns that look good don't work. Other horns look like basket cases but they work.
If this horn won't cooperate, get another one.
Good luck!