Hi Jeffrey, "Nothing to do with horses" means that the game of water polo does not involve horses. For example, regular polo is a sport that uses horses, but water polo does not. If we say that water polo has "nothing to do with horses", we mean that water polo is not associated with horses, it does not involve horses, or it is unrelated to horses. I hope this helps! If you would like any additional help with English idioms please feel free to sign up for a class :)

"Nothing to do with horses" doesn't have any special meaning (as far as I know). I think in the context you're speaking of, whoever said that sentence meant that water polo should not be confused with another sport called 'polo' - which is played on horses.

No one has mentioned it yet - but that's supposed to be a joke.

Polo is a more than a thousand years old, and it's a game played on horses. "Water polo" was invented around 1900. The speaker knew about polo and had never heard of water polo. The speaker made the reasonable guess that water polo was a kind of polo and would therefore use horses. He was surprised to discover that it "has nothing to do with horses..."