The Horseshoes of a Zephyr are a legendary magical set of horseshoes.
This set of shoes is usually made of iron, plated over with silver. They must be affixed to the horse with silver nails as well. Once these shoes are affixed your horse gains a few magical abilities.
A horse wearing these shoes moves without touching the ground (they pretty much hover a fraction of an inch off the ground). This allows them to run without leaving any kind of tracks. These shoes also allow the horse to move over any surface (even water or deep snow can be crossed), without slowing down.
A horse wearing these shoes can travel hard for up to 12 hours a day without tiring. But beware of trying to push your horse for longer than that, as it is very likely that it will throw a shoe, leaving you with a useless incomplete set of these magical horseshoes.
This is only my interpretation of this item, which is based largely upon its use in the older versions of the Dungeons & Dragons series of games. Your horseshoes may vary, so always read the instructions.