You can either simply laugh that the person in the joke doesn't know a male horse from a cow, or you can think longer and harder about it, applying your own personal experiences and fantasies to it, until you reach the conclusion you desire.
That's part of the beauty of the joke. That's why its been around for a thousand years.
'...personal experiences and fantasies to it....'
Hello? I have no animalist fantasies!
WHY, in your mind, does the joke continue on (after the cow to horse transition), and say 'a MALE horse'