EDIT:This answer is about the item "Horseshoe" and not "Spectral Horseshoe" for the latter the method is not yet known, however it is speculated that the item is a drop from new soul war bosses quest
It is a very rare drop from the boss called "The Pertch Queen" from the Winterlight Solstice event, that event happens once a year close to Christmas eve.
Event starts at Dec 11 and ends at Jan 10 in Svargrond.