I thought as much. If I understand correctly, I need to do a whole lot of breeding to get a Zorse then work on getting a Pegasus or Unicorn. Yes, I did read that I had to deal with either a bathorse or a nightmare, first.
I have a minor nitpick and it may well be the Texture pack I'm using. When I go into the Global Mod Settings to play with the settings for the Mobs, the buttons are quite large. It's a good thing I can use my arrow keys. I was also looking to get a better handle on using the controls. I didn't see this on the wiki. Any ideas?
As for the horses, I will either have to find a new Extreme Hills or plains.