I got this from wiki answers
These are the different noises horses make and what they mean.
The Neigh or Whinny
A neigh sounds like a squeal followed by a nicker and is very loud.
The term whinny is also used to refer to a neigh.
When a horse neighs (or whinnies) with his head high, he is looking for other horses or people.
The Nicker
The nicker sound is produced when a horse creates a vibrating sound with his mouth closed using the vocal cords.
When a horse nickers quietly, and moves toward a horse or person, he is saying "hello".
When a horse nickers intensely and shakes his head, he wants to mate.
When a nicker is much softer and quieter than a "hello" nicker, it's usually made by a mare to her foal.
The Blow
The blow sound is produced when a horse exhales through his nose with his mouth shut.
A horse blows when it's curious, or when greeting another horse.
When horses meet nose to nose and blow on each other, they are greeting each other.
If the horses continue blowing gently followed by other actions such as nuzzling, they are friends.
If one or both of the horses nip at the other, stomp their front feet, strike out, or squeal, it means they are enemies.
When a horse blows at something he usually curious.
If the horse relaxes all is well.
If the horse tenses up or shies away, it senses danger.
The Snort
The snort sound is produced when a horse exhales through his nose with his mouth shut and produces a vibrating sound in the nostrils. Very often the horse holds his head up while snorting.
When a horse snorts and stares at an object he is checking for danger.
The Squeal
A horse squeals with his mouth shut.
When a horse squeals it means no.
The Scream
A horse screams while fighting with another horse.