Instructions
Find and download a horse that you like. If you're having trouble, a horse is included in the "Animal Pack" available for download on the Garry's Mod website.
Open the downloaded file, and place its contents into your Gmod directory. By default, it is "C:\Program Files\Steam\steamapps\USERNAME\garrysmod\garrysmod\lua\autorun" where "USERNAME" is the name you use to log in to Steam.
Run Garry's Mod. Pull up your NPC list, and you'll see that a horse has been added to it. Click on the horse's image to bring one into the game world.