The Horseshoe is when a man has a long enough penis that he fucks himself in the arse with his own penis. The penis forms a Horseshoe shape and thus how it got its name.
The word comes from Machinima Respawn's weekly show Season 1 Episode 65. Hutch claims that one of his old roomate use to have sex with himself by putting his penis between his legs and up his own arsehole.
Guy1: Man I heard that you horseshoed yourself one time
Guy2: Yeah, it felt terrible.