To find horses for use in the Training Stable, you simply need to zoom out and search the map for them. They work in the same way as sheep and cattle, so send a unit to a group of horses to take them for your empire.
There does, however, appear to be a glitch in some people's games where they have no animals at all in their empire. If you don't have horses or cows or sheep, it is likely a technical issue, so you may want to contact support - be patient though, sometimes a refresh of the game will lead to an abundance of horses!
Added by: MongooseGeneral Feb 4th 2012, ID#181