You should already have the first one from completing the tutorial mission.

Horses will allow you to get around faster and outrun any dangerous bandits who might want to pick a fight. During this phase, it might be better to keep a small army of mostly mounted troops so you don't need to worry about running out of money.They will suggest someone and give you their last known location.

If you're having trouble, you can talk to any noble you run across (even one you've already talked to for this quest) and ask them who might be able to tell you more about the battle. The nobles who can fulfill this objective are scattered across the realm, so you'll have to travel far and wide to find them.