Horned Melons can be found on the ground of Jungle Biomes.
Since these Crops are pretty rare in the beginning, it is advised not to just consume the first Melons you find, but to process them into 2 Horned Melon Seeds (each) in the Processor, from which you can grow more Horned Melons yourself "infinitely".
Melons can be eaten directly to grant player characters a very
small bonus to their maximum (possible) Stamina. However this is not an efficient way to use Horned Melons.
Horned Melons can also be fed to Pets. Some Pets prefer Melons as their favorite fodder, which is pretty convenient. Pets will only provide players with their best harvest when being fed their favorite type of Food after all.
But best of all: Horned Melons can be used to cook useful Food like Melon Pie (grants poison resistance and +100 max. Stamina and is the favorite food of a number of Pets) or Melon Sandwiches (these will grant +200 max. Health and +100 max. Stamina) in the Cooking Station.
Melons can also be used as secondary ingredients for many other types of Food with a large range of different buffs in a Cooking Station.
The Cooking Station only provides 4 cooking recipes, but by choosing different ingredients, you can cook up to 36 types of Food with different positive effects (buffs) when consumed (either right click on the Food after putting it into a quickbar, or drag a stack of Food from the inventory over your character's portrait on the right side).
Horned Melons are quite rare at first, but the longer you play on a Creativerse world the more of those will spawn. If players are staying somewhere close to Jungle Biomes it seems to increase the chances of Melons spawning there. Sleeping on a Bed to skip days and nights will not help speeding up this process though.
The "Pro" world option "more regrowth" should make more Horned Melons spawn in the game-world even faster.
Unfortunately for now it seems that Melons cannot easily be made to spawn in artificial "jungles" made from Detritus, so to collect your first Horned Melon you will have to explore the Creativerse Worlds a bit to find Jungles and then cross these biomes a few times until Melons will spawn there.
You can use your Map and compare it with the maps of template worlds ( http://steamcommunity.com/sharedfiles/filedetails/?id=634088783 ) to see where the closest Jungle might be.
You can grow Crops like Horned Melons from Horned Melon Seeds on tilled blocks of Dirt, green Grass and/or Mud. First place such natural blocks over a body of Water or Mineral Water, or alternatively place these liquids directly adjacent to each block of Dirt, Grass or Mud (like directly below for example, or at least corner to corner).
This can even be done underground in complete darkness and/or in a building, but not at too high altitudes, not in too cold nor too hot biomes/layers, and not too close to Swamplands or pools of Bog Water. In these cases, Seeds will stay "fallow" and won't grow (they can be picked up again).
Next craft a Plow and use it on the solid blocks to till them; they will turn into "tilled land". Then place Seeds on the tilled land (just like you'd place any block). You can, but you do not need to fertilize Seeds in order to make your Crops grow faster.
Wait a bit until the Crops are ripe to receive the best harvest. Wheat needs approx. 50 minutes (real-life-time) to grow from seeds into ripe plants, even if you're offline. Lettuce needs about 60 minutes, Turnips not much longer (ca. 61 minutes), Horned Melons need ca. 90 minutes until they're ripe. They can be harvested by being "pulled" with the gauntlet and left mouse button (by default) just like any other type of block, item, plant or liquid.
If Crops stay "ripe" for 24 RL hours, they will turn into "grown" Crops. The harvest will become a little less then, but Crops won't wither. Please refer to the article Farming if you want to learn more about growing Crops.