First you must find a horse, I usually find one by heading up and then right from the jail.
Once you have found one bring up the menu and save your game before getting on the horse.
Jump on the horse and run into the nearest enclosed area or find a wall nearby, keep holding forward and running into the wall until the horse disappears, I found the horse seems to stay for longer this way.
Once the horse has disappeared simply reload the save and repeat until the achievement pops.