The picoswitch is just an on/off switch in itself- you plug it into the rx to control it. You have to connect up a horn and battery to the switch itself, then you can turn it on & off- rather like an esc; the esc does nothing on its own without a battery and a motor.
http://www.dimensionengineering.com/...ch-diagram.jpg
Just swap the lightbulb for a buzzer in this example diagram.