I am doing the quest that i must steal that horse outside Riften. I stole it then i took it for a ride and left it somewhere in the wilderness. Now i cant finish that quest..Is there any way to finish it? The horse is not at the stables(i left it somewhere around riften but i cant find it)

Have you Fast Travled to any location? Frost should follow you.

If you're playing on the pc, you could use the console command 'movetoqt'.