http://weekly.ahram.org.eg/2004/717/feature.htm
excerpt
So far we do not know when or where in the world the horse was first tamed, but the Arabian horse may have been domesticated about 4,000 years ago by the Hittites in the steppes of Asia Minor. The horse changed the course of history; with it, its masters were able to go on to shape kingdoms and civilisations. The Hittites spread into Babylonia, where the Hyksos, the "Shepherd Kings", originated, and from there it was the horse that brought the Hyksos to Egypt, rather than the other way round as is commonly supposed.
and this from National Geographic
excerpt
http://news.nationalgeographic.com/news/2001/01/0118horse.html
One hypothesis maintains that horses were tamed in a single Eurasian location and then distributedin domesticated form throughout the region.
A second hypothesis agrees that wild horses were tamed first in the Eurasian steppe.