The closest location of the wild horses is near the Stonebeak Shore. See the screenshots tab.
To complete this quest you'll need a fast horse with a Sprint skill learned.
First go to the location of the horses, find them and place a mark on the map for the reference. Then go to Shamhain, mount your horse and talk to him from the horse back to start the timer. Use the red path from the screenshot and ride to the horses by going through two bridges.

Once you'll catch the horse you'll have to ride it back to Shamhain. New horses are slow, so be sure to be sure to drive it back manually, holding shift key all the time.