The horse menu is located under "special abilities" in the radial menu. (This is the leftmost submenu.) The lower three options of this submenu are for the three classes a character can have, in order from left to right. The horse menu will appear for each base class a character has. If the base class has one or more other special abilities that need to appear in this slot, a submenu for that class will appear, and the horse menu will be located under this class-specific submenu.