Your best bet to get started is the manual:
http://www.horde3d.org/docs/manual.htmlIt has a small tutorial that will get something up and on the screen for you to mess around with.
After you grab the code, I'd look at the knight sample code. You'll see lots of things like how to weight your animations, and move things around.
Keep in mind that Horde3d is just the rendering part of a game. You'll still need, input, sound, collision, ai, etc.
I know there is a full game engine built around Horde3d, but I don't have any experience with that, so someone else will have ot fill you in there.