Use a sawhorse to make a horse by making a horse head and attach it to the body. Use yarn for the mane. A saddle can be made with a piece of vinyl.  

Food
Hot dogs, hamburgers, baked beans, popcorn, trail mix.

Games
Round-up
Using white and black balloons to represent cows, you can even make the white ones spotted if you like, have the children line up in a row with their balloons. They must use their heads to push the balloon across a finish line.  

Spot the cows
Have a cow round-up using cows cut from paper or little plastic cows. Hide the cows all over your backyard if you are having the party outside. Let the children round them up.

Pin the Badge on the Sheriff
Draw a large sheriff on a piece of poster board. Cut out enough stars for each child to have one. Blindfold the children and have them pin the badge on the Sheriff, the one who gets the closest wins.

Activities
Using paper grocery bags have the children make vests.

Cut starts out of construction paper or go to a craft store to use their die-machine and the children can make their own badges. 

You can hire somebody to bring ponies to your house for pony rides if it is in your budget.

Party Favors
Use a cowboy hat instead of a favor bag. Fill the hat with cowboy related toys & candy such as star badges, horse stickers, rope licorice, toy cows and horses. You can find hats at Oriental Trading Company, Inc..