For this achievement you must win a mission with only mounted cavalry units. This means nothing but horseback soldiers. There are easier missions to do this on, but as a general rule of them the side missions can be very easy when making your army one dimensional like this achievement does.
A method from ruslan74:
For the "Win a Battle with xxxxx unit" related achievements and Invincible I found it easiest to just start a Skirmish session -> Army Camp -> create 2 custom armies consisting of whichever unit related achievement you seek. You will need to modify these armies to work on the other unit related achievements later on.
Then select Sand Box -> look for the Capture Wagon scenario ( far left on map ) -> set on Easy -> Press A to select your custom army and start the skirmish. You units will get hold of the wagon before it even reaches the top of the map and make the unit specific achievements easy as pie.