Right beside the front tow hooks. You can access them through the opening in the front fascia. They may still be covered by the stock splash guards. Here's a good link:
http://s95014253.onlinehome.us/63104/132058.html
Mine isn't working on the TT either. Not the relay; already replaced that. Don't think it's a fuse, though I could be wrong. Verified the horns on the car work by plugging them up to the 2+2's harness. I think I'll double check fuses sometime.