What kind of worm can it be it is yellow with black horns And it stings?

Its not a worm. Its a caterpillar of a moth. Always remember, The fuzzy ones, sting! If you get stung by one, take some MSG (monosodium glutimate or meat tenderizer) out of the spice cabinet, spit in your hand and add powder to make a paste. Rub it on the sting and it will ease the pain by breaking down the proteins in the poison.