Are you sure that your band director was giving out the combination to your locker, or do you just suspect it? Do you have witnesses? Preferably a room full of witnesses? If so, and he was giving other kids access to a locker which is only used by you (and checked out in some way), it may have been against the law. It is a touchy area where I teach. If this is indeed the case, the director should be concerned.
Still, since he wasn't the one who dented your horn, I think it is really between you and the person who was using your horn. If you gave this student permission to use your horn and didn't let the director know that you had revoked that permission, he may have assumed that all was well.
Was there a point when this freshman clearly didn't have permission. Did you make it clear to this person and others? If this person used your horn after that point against your wishes and did indeed open your locker without your permission, you might want to involve your parents and ask him or his parents to pay for the damages
Like Rick was saying, challenging authority can be rough, so be polite and follow the chain of command if you do that. Put yourself in your director's shoes. Involving your parents, to talk with the other students' parents if nothing happens is a good idea. If you did have this horn locked up and had taken back permission and the student still damaged it AND they refuse to even help pay for it, CALL JUDGE JUDY!
-Tabor