What does 40VA rating for transformer mean?
Those 12V are the effective AC voltage. To get the peak voltage you need to multiply by the square root of 2, which results in about 17V.

40VA means that at an effective voltage of 12V it can handle an effective current of 40VA / 12V = 3.3A, which should be enough (though you neglected to tell us how much current the horn needs).

You need a rectifier and a smoothing capacitor in front of the linear regulator. The rectifier will reduce the voltage by about 1.4V, so at the input of the linear rectifier you will have a little more than 15V, with some ripple depending on the capacitor and the current drawn.

At 200mA and 10V difference between input and output your linear regulator will need to get rid of 2W of power, so it will need some cooling.

As for the horn, it depends on the specification of the horn, how precisely it needs those 12V. If it can tolerate some ripple you could use five 1N4004 diodes in series (5 * 0.7V = 3.5V, 15.5V - 3.5V = 12V) to lower the voltage. This is better than a resistor, because the voltage across a resistor depends much more on the load than for a diode.