Khal Drogo was one of the most loved characters in the currently ongoing Game of Thrones franchise. The man was a chieftain of a Dothraki tribe, and he was one of the first people to show the Queen of Dragons the right way. Anyway, some person decided to imitate Khal Drogo, which is how the photo you see above came to life.
The photo is not some kind of joke or taken from the set of Game of Thrones. Someone did actually get two horses (perhaps he rented them?), placed one leg on each of them and rode through town. This is not the only photo of the incident - several were actually made. It is not entirely clear whether what he did was legal, but it is funny to see.