A Feed Horn is basically a horn antenna that lies between the transceiver and the antenna reflector in a satellite dish system.
When receiving a signal from the satellite, the signal is reflected from the parabolic dish to the feed horn which then passes it on to the Low Noise Block (LNB) where it is down converted and processed further. The feed horn provides some level of gain and is designed to support a particular type of polarization, this way it can filter out unwanted signals by only allowing specific polarity waves depending on the polarization of the horn antenna.
Feed Horn is always located at the focal point of the parabolic dish and is simply attached to the LNB.
An LNB with an integrated feed horn is called as an LNBF.
On the transmit side, the signal is sent from the satellite modem to the Block Up-Converter for amplification and up-conversion and is then sent out via the Feed Horn towards the dish antenna/reflector towards the satellite.