Create a simple straight line and a circle so it will look something like this

Pick the circle then the line, hit surface - Extrude
You will have a basic cylinder.
The point that I would like to illustrate is the fact you can manipulate the cylinder after it has been created because of the action history.

You've got to love that :)

Now change the rotation to 360, so we have this nice spiral isoparm -- this is what we are looking for.

Right click on the surface -- choose Isoparm, and pick any of these spiraled Isoparms.
Choose Edit curve - duplicate surface curves.

Now you can get rid of the cylinder, it served it purpose.
You should have a nice spiraled curve.
Move and scale the circle that we used to create the cylinder and place it so it's centre is on the first CV of the spiral curve.

TIP: to place it precisely, pick the circle, right click on the curve, and choose control vertices.

Now move the circle while hitting the "V" button or snap to curve

Rotate and adjust so it will look somewhat like this
Pick the circle and the curve and hit delete history to get rid of all the past nodes

Choose Surface, Extrude
In the input channel of the new surface, change the scale to 0.05
Note: You can change the scale to be 0 to have a closed surface but I prefer to do this step towards the end. However, it is up to you.

We need to get this surface ready for Zbrush, so hit Convert - nurbs to poly and open the options window.
Choose Quads (Zbrush only takes quads) and Tessellation methods - control points
Note: You could have done the extrude directly as polygon.

Delete the original surface and rename your new poly to "horn"

Export it as an OBJ file
Note: Zbrush only takes Quads, so keep that in mind every time you export to Zbrush