Where is it located

Are you sure it is a year 2000. It appears they were available 2005 to 2007?

https://fuse-box.info/mercury/mercury-montego-2005-2007-fuses-and-relay

Fuse Box Diagram Mercury

Fuse-Box.info https://fuse-box.info > Home > Mercury
Fuse box diagram (location and assignment of electrical fuses and relays) for Mercury Milan (2006, 2007, 2008, 2009, 2010, 2011). Mercury Montego (2005-2007)...>>

https://www.google.com/search?q=2000+montego+fuse+box+diagram

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Check out the link

https://www.google.com/search?q=2006+Mercury+Milan.+Knock+sensor+location&rlz=1C1QJDB_enCA643CA644&sxsrf=APq-WBsqZT1HwMHHkCaS5klyIa17JDfNvg:1647701475706&source=lnms&tbm=isch&sa=X&ved=2ahUKEwjQ2p6pttL2AhVHAp0JHd3tCJcQ_AUoAXoECAEQAw&biw=1920&bih=937&dpr=1

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INSIDE THE TRANNY

Still working though right? Many of the relay systems use an electric solenoid motor to generate the release...usually located at the connection tab as closing...also will help you find for replacement if it fails...easy to find replacement, and easy to replace. Hope this helps.

Click here to see how to replace the thermostat.click here to see how to change cylinder head temperature sensor.

a/c relay in fuse box underhood.powered by fuse, control power from ecm/pcm.

Safely raise and support front of vehicle, The diagram shows the tire removed, right front. Remove 4 screws in splash shield, pull down on splash shield to reach horn. The horn is number 4.
Just make sure the horn is the problem and not wiring circuit issue, somewhere.
Any time your working under a vehicle there are safety issues, safety is your responsibility.

I got a question Does Anyone know were the fuel relay switch is on a 2011 Mercury Milan

Even though your current radio has an AUX button the radio is not programmed to utilize it.
There is no 'easy' way to add the '07 Job 2 and later year model's factory Aux input.
You will need to buy an aftermarket solution. Something like this http://pac-audio.com/productDetails.aspx?ProductId=821&CategoryID=24