Pretty simple. You may be able to unlock this before or during the tutorial mission, but if you can't, do it after. What you want to do is press the "H" key to call your horse. Once the horse comes to you, press the "E" key to get off the horse. Now look at it, and kill it. You don't need a gun if you're out of ammo. Follow the video below that I made, if you really need to.