When they were at the battle at the black gate, I would think that they let the horses go rather than use them in battle. After all, they were out numbered and more than likely had Frodo not succeeded or the orcs had overtaken them in battle, they would've been destroyed and instead of sending the horses to their most likely doom, they let them go and fought on foot. <P>As for Helm's Deep, I would imagine they had a stable or area in which the horses were kept inside the caves.
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"He stands not alone. You would die before your stroke fell."~Legolas
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