Ahh, I see... you see...the terminology here is a bit confusing...

You CAN make new 'skeletons' in terms of say fs_dagger kind of skeleton. You CANNOT make a new skeleton in terms of the actual underlying skeleton in the model mesh that is animated.

The files you want to change can be changed. These are animation routines. You will need 3DS Max and Vercingetorix's script to import and export animations.

Use the XIDX tool to extract all the animations and skeleton files, and make yourself a copy of the horse animation sets. Then you can modify the ones you want, and re-pack. It's quite a tricky task at first, but once you have the process done once...it gets easier!