Kick me now for not having it installed yet. I have had a Nathan K3LA horn, compressor, tank and solenoids sitting around for maybe a year now. It took me a bit to scrounge up the parts and that is some of the reason why its not a major priority. It wouldnt take me long to install it either. I have hooked the horn up to shop air though and its loud enough that it vibrates your organs when going off.
For your budget, if you can't find a cheap real train horn set like on ebay or something, you will have to buy a spin-off of a real train horns. Hornblasters sells those too. I dont think the cheaper ones have the unique train horn sound but they are close and very loud also. I would call Hornblasters back up and talk to one of those guys, they were real helpfull to me with a few questions. Those kits they have around the $500 range doesnt sound bad. Might I suggest you splurge for the 5 gal tank size and use one of the extra ports on the tank for plumbing an on-board air option. You will have the extra capacity to air up a tire or even run an impact wrench briefly if needed.