What do the horse's messages mean?
As far as I know, the Horse's only purpose is to hint at the "Secret Horse Level", much how Diablo had a cow that could be clicked (though the Secret Cow Level only existed in the sequel).
To clarify, the cows in Diablo also responded when clicked on:
- "Yup, that's a cow all right!"
- "I am not thirsty"
- "Hey! I am no milkmaid!"