Here's why this might be confusing:
* Captain Cook: A famous explorer, not a culinary term.
* Cook: A verb related to preparing food.
* Horse: An animal, not something you'd typically cook.
It's possible someone is trying to be funny or make a joke.
Here are some possibilities:
* A pun: They might be playing on the idea of "cooking" something else, like a horse's meal.
* A made-up phrase: It could be a completely invented phrase used for humor.
If you can provide more context, I might be able to help you understand what they meant!