Sorry if this seems rude but you should have never let the lady take the horse if she didn't sign a lease contract or any kind of contract. That is your own fault.
Like Integrity said, contact the police and tell them what all happend but honestly I doubt they will do anything just because of the simple fact that you waited so long and were dumb enough to send a horse to someone with no contract. A person should never give, sell, trade, or borrow anything without a contract. People these days are selfish, greedy, and need money or whatever even if they are your friends or really nice. People are decieving.
Secondly, if it is not the LADYS property but a boarding facility then you should speak to the barn manager about the situation and what you want to do. Remember you get more flys with honey than vinegar.
What is the ladys name? Some forumites might now her and be able to contact her. Or even a barn name