Surprising though it may sound, the Vikings have never worn even the tiniest little horns in their helmets. Viking helmets did sometimes have neat figures and all kinds of decorations, but not horns. There are some Danish bog-findings of ritual helmets that do have metal horns in them, but these date from the Bronze age - some 2000 years before the Vikings.
The idea has its roots in the art of the Romantic period - first half of the 19th century - when the artists started to introduce native myths and legends in painting and sculpture instead of Greco-Roman ones. But since archaeology as a science didn't really even exist yet, they had a very poor idea of what sort of equipment the heroes of the sagas had used. So they used their creative imagination.
Later, despite the fact that we now know better, the myth has been further popularized by Hollywood movies and comics such ex. Hagar the Horrible and Asterix the Gaul - nowadays a "Viking" is almost by definition "someone who wears a pair of horns on his head".