I have the sport wheel on my convertible, basically the same as what you have here but mine has the woodgrain around the wheel instead of the padding.    It looks like you have everything, but you need to remove the switch and white mount thing from within the horn button.    The switch is a multi-layered piece that makes contact to ground for the horn.  The white piece is just something for the horn button to snap on to. 

Inside the horn button should be three prongs that grab onto the white piece.  The white piece is screwed onto the switch (you can see the 3 screws in your picture).  If I recall, you'll need to put something inside the large hole on the switch, and then pry off the horn button (you're imitating the steering column).   Once the switch is removed from the horn button, the switch will be bolted onto the column on the drivers side of the wheel, held on by the big nut.   The white piece will be facing you.   The horn button then snaps onto the white piece.