Konaboy,
Welcome to the forum. While I am not sure exactly what radio unit you have I am going to assume it is the 4.3? If so, the correct procedure is to press the settings hard key on the radio. Then scroll down the soft key list until you see Doors+Locks and select that. After that another list will appear that say Horn and Lock. If you select that you should be able to turn on and off.
If you still do not see the setting please post back up exactly what point in the option list you do not see what I have described above and I will try and get further info. Or if you have a different radio.