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Taking a young horse out of the round pen or arena the first few times is often a dangerous proposition if the stories I hear are any indication. Ideally I could provide you with all the information and guidelines needed to keep you safe, but there are so many different situations and so much experience with young horses involved that it isn't possible to cover everything but I can try to steer you away from the most common problems.
The absolute must-do to remember before riding out with your young horse is that you want him tired, happy and submissive. In the best case scenario you would ride the horse in his home round pen or arena where he is most familiar first. Set your goal to achieve these four things before leaving that safe pen: first and most importantly you must be able to move the horse's hindquarters easily; light pressure from your leg should result in the horse calmly and freely moving the hindquarters in a turn on the forehand. Second, the horse must willingly lope without any bad attitude. Third, you should be able to bend the horses head around toward your leg and have him yield and relax there without moving his feet and finally the horse should stop from a light pull on the reins. If you don't have these things, DON'T LEAVE A SAFE PEN! I usually work on these things for about 45 minutes in a safe pen and then ride out when the horse is a little tired and will be less likely to over react and will also appreciate a nice quiet ride outside. By preparing him in this way your horse will learn that trail rides are something fun and relaxing, not a scary foray into the cold cruel world.
Another dangerous situation that often occurs is when two or three friends on seasoned horses invite you out for a trail ride because they think riding out with older horses will help acclimate a colt to the trail. Unless those friends are highly experienced horsemen themselves and are very familiar with young horses they can unintentionally get you hurt or scared. What generally actually happens in this type of situation is that your inexperienced colt follows the other horses instead of YOU, which is not at all what you want. The stage is set for the "herd" to be in control of your horse while you, the rider, gets tuned out. Then something happens where you must direct the colt and it rebels because in this circumstance, you haven't been in charge up to this point! So if you do ride out with someone else, be sure it is someone you can trust to be cautious, prudent and patient throughout the ride. Then in order to stay in control of the colt, ride it in the lead. Maintain your control over his decisions all the time especially when you are with the other horse.
Similarly, when riding out alone your colt may not want to leave his stable mates and you can have the same problem. In this case just don't force the situation. If he wants to go to his friends, take him there and work first and then try riding off down the road. If he goes, great, if not take him back to his friends and work some more. Continue this until he understands that the trail is the easy place to be and his friends equal work. This same practice is useful if he wants to hurry home or is barn sour. Just keep him under control on the way home. When he gets there work his tail off then go back out on the trail and rest. After a few sessions of this they quit being in such a rush to get home. But a word of caution about this method, don't make the work you are imposing on the horse too exciting or frustrating, as this can create other problems you don't want.
Finally, as a rule of thumb make these rides as pleasant as possible and follow them up with standing tied for an hour or so. Getting home and turning the horse out with food, water, shelter, and friends teaches him that getting home is the best thing to do and we don't want him to think that.
Avoid rides out in dangerous areas. No ice, mud, cactus, busy roads, water crossings, wire, pigs, llamas, sheep, helicopters, aliens etc. There will be time for this later, don't do it unless you are sure of yourself and your horse.
Okay, so assuming you have your horse ready and a safe place to ride with a safe person, this is how I would approach it. Start the horse down the trail or road in the lead with the other horse following behind. Make the horse go in a brisk walk and keep him busy. Smoothly and quietly change speed and direction often. Find any excuse to bend your horse around toward your leg and yield the hind quarters: for example if the horse won't turn smoothly, speeds up without request or spooks at something. Any time you are stopping or bending your horse your riding buddy must wait patiently for you to finish. Also, stop often and pet him. If the horse feels calm and happy trot and lope him a little in a safe place. Keep progressing but don't take any unnecessary chances.
Finally, if you can't do these things or don't feel ready or courageous enough, find someone with a good reputation and lots of experience and have them do it. There is so much experience involved in accomplishing those first few rides on a colt successfully that it is not worth the risk involved to YOU or your horse. Good luck and I hope these guidelines help you enjoy many safe rides with your colt.