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Special horses are the divine horses. If you have played the tutorial of Ascent of the Olympus (which you find in the banners on top of the page) you get 3 divines for free, they are yours to keep. Or maybe you already own other divines.

You also need a companion for this objective. If you don't have any in your inventory yet, keep playing the current Doors event (also in the banners on top of the page), you can win some companions there. Companions are not for sale in the shop and cannot be exchanged.

As soon as you have chosen the divine, click the big green + on his page that says 'Add a companion'. Choose a companion from the ones you own and click 'Get'.
You can also go from your inventory, choose a companion there and add it to a horse. In that case make sure it is a divine horse.

Objective done!