Note: This side-mission takes place in the Soul Cairn.
When walking through the Soul Cairn you'll come across a boneyard where you should find a soul - standing in mist - calling out the name 'Avrak'. Speak to him and he'll tell you that he's looking for his horse. If you head east of where Serena's mother is waiting you'll find a building (covered in a purple hue) with Skeletons guarding it.
Inside you'll find the horse's skull, so pick it up and take it back to the soul. He'll reward you by showing you how to summon the horse whenever you like (making getting to new locations in Skyrim much, much faster! Hooray!