I would advise you edit your posts instead of multi posting so as to follow the forum code of conduct.
That's correct, but what exactly do I do to combine those two models? Thanks in advance.
You use your 3D computer modelling skills to equivalently make a new model. This process is very much dependant on how artistic you are and your practice using modelling tools. Unfortunately I cannot give you many tips with this since I am not very good with arty stuff.
As far as I know magos editor is too basic for this task as it lacks proper model editing capabilities and tools. Maybe that has changed, I am using a very old version (1.07) from about 2007-2010. You will need a professional grade model editing program.
To start you are going to need to import the existing Warcraft III models into your model editing program. Unfortunately the official art tools are no longer supported due to the age of the game and they need a non-free program anyway. I think importers/exporters exist for commonly used modelling programs such as gmax and milkshape which may or may not be free anymore.
After you have the two models imported into your workspace you will need to manipulate them into place. The horse should stay where it is while the rider needs to be raised and moved approximately to saddle position.
You then need to start working on the riders legs. If you do not plan to animate them you can delete their bones now as you will later attach them to the horses body. Generally you will want to manipulate the rider into a riding pose, I recommend viewing source martial and relying on artistic talent to get it right. It is perfectly fine to sink the legs slightly into the model geometry and I doubt anyone will notice after you are done.
After your rider is vaguely in place you will need to merge the bones. I am not too knowledgeable about how bones function but as a guess you will need to connect the rider body bone to the horses body bone so that when the horse moves the rider moves with it. If the rider will have no leg animations you can work on removing not visible geometry and fusing it with the mount. Both rider and mount probably have to be separate meshes since they almost certainly use different materials.
Then comes the painful task of animating it. In the case of walking you use the horses animation and then maybe manipulate the rider bones into some riding posture. More complex riding animations might have his legs moving and him moving in his saddle but that is up to how much detail you want (wc3 knights just raise their sword). When standing you might want to combine fidget animations to some extent and add some extra sequences to make up duration disparities between the fidgets. When attacking you can probably recycle most of the riders attack animation with some basic horse movements (like braying) as would seem natural. Death you use the horses dying animation and then create a natural death animation for the rider (like being thrown off, falling to the side, slouching in the saddle etc). The decay and bones animations can probably be made by manipulating the riders decay and bones into an appropriate next to the horses.
After all this you can export it to mdx and then try it out in the editor. Due to the amount of from scratch editing needed I recon this could take anywhere from 4 hours to 12 hours of work depending on your skill level.