See Trivia Manipulator for details on how to start the Horseman gathering quest.
Pimp Le Car is located in the garage down the street from Stinky's Diner. Open the garage and talk to the COPS. Ask them if they can pimp your car and tell them you want the Horseman. You will now have to play a mini-game where you drive the DeSoto and run over blue "Torture Me Elmer" dolls lying in the road. The controls are as follows:
Honk horn (does nothing in this episode)
Use big gun; When using the gun, aims, shoots, and or puts the gun away
Remove VR goggles
Return to Straight Street
For this challenge, you shouldn't need to do more than just steer. Run over 30 Elmer dolls in 60 seconds and you will win the Horseman of Death. The COPS will attach it to the hood of the DeSoto, so go back to where it's parked and remove the Horseman.