Upon speaking to Vesit Delurna, the horse breeder, you learn that a trio of bandits attempted to intimidate him into giving up his ranch. Vesit asks you to dispatch the bandits, and in return, he will give you one of his horses.
You will find the bandits in a small cave near Eye Lake. Kill all three and you will recieve a skill point. Return to Vesit with the news, and you may then take a horse capable of carrying 500 units of weight.