Once you dock on the larger island to the south, defeat the enemies and then head along the dock to the left of the beach. A Projectile Draugr will attempt to stop you, defeat him and find the Horn at the far end.
Head right from the boat on the main beach to find a chain you can pull, do this and use the axe to freeze the runic gear in place in the upper right corner. Follow this wall forward to find the now open gate and a wall to scale, do so and follow the path down at the top to a boarded wall. Break this open and search the corpse at the end to find this Horn.
Once you reach the anchor that binds the Dragon, head to the open area to the left. You’ll spot a waterfall on your right and at the bottom of it sits a corpse with this Horn.
Once you reach the entrance to the castle, turn around to see a bomb blocking the bridge. Destroy it and jump the gap to find the Horn by the corpse on the other side.
Enter the castle itself and you’ll be ambushed by two Reavers to your right, kill them and proceed forward to the end of the room where another two Reavers also ambush you. Once dead, check the corpse for another Horn.
Head further into the castle and lower the water level by activating the switch. Drop down the ledge to reach the lower room, defeating the Tatzelwurms before finding the final Horn on the corpse.