From Diablo Wiki
Über Andariel, also known as Lilith, drops this item. She is reached by getting 3 keys of terror. The keys of terror can be dropped by the Countess (who is at the 5 level of the tower found in the Black Marsh in act I).
Diablo's Horn is used along with to other items, in order to open a portal to über Tristram, for more information about this see the Pandemonium Event