New horn not working with lights?

[Freck]

I seriously doubt that the new horn would be drawing too much current for the bikes electrical system to cope with, unless it's a ships horn!  :lol
The more likely explanation is that either the regulator or the battery/charging system is playing up and can't cope with the load required with the lights etc switched on.
I'd check to see what the battery voltage is with the engine off, then running, then with lights on at idle and while increasing the revs.