There are three cryptids that you will prove and one that you fail to prove.
Nessie - (proven) get a close-up photo of the Loch Ness monster: Get a rowboat photo and return it to Mews; get a submarine photo and return it to the pub; cross the loch in the rowboat with the pennywhistle.
Yeti - (unproven) get a photo of the snow footprint above the monastery in the Himalayas
Chupacabra - (proven) get some fur from a fence in Puerto Rico and test it, but it is not the creature's fur; get a tooth left behind when it escapes your trap
Jersey Devil - (proven) go to the old house in New Jersey, get some broken egg shells from the treetop nest of the Devil
The Yeti is proven, by extension, because you locate and rescue Bigfoot after the other four locations are completed as above.
You find him in the lab, where you first talked to him. From the helipad. it is just to the left.
You take it to mews mansion and give it to him if its real you can analyze it if it is not he wont take it.
When you first start the island and you get the paper about Mews needing the evidence of ONE cryptid to get your reward, you end up needing to search for 4: Bigfoot, the Loch Ness Monster, the Chupacabra, and the Jersey Devil.
There does not seem to be a horn on Cryptids Island. There is a flute (a pennywhistle) which you receive after the submarine ride, after you defeat the sore loser at darts again.
Yes, you can find proof of The Jersey Devil, Bigfoot, Nessie, and the Chupacabra. (see related question)
In the monastery.
first you have to find all the other cryptids then you go in the helicoptor to the new location and follow him to his cave
You will search for evidence in four locations around the globe where cryptids have been observed. As you discover possible clues, you examine them to see if they are genuine. Nessie - at Loch Ness Yeti - in the Himalayas Chupacabra - in Puerto Rico Jersey Devil - in New Jersey (see solution at the related question)
You find it caught on the fence of the farmer's brother.
The prize for spotting Nessie during the Cryptids Island preview (beginning December 2, 2010) was a Nessie Hat. (see related link)
after you cut it it automatically goes into your inventory.
There are some matches in the pub at Loch Ness.