As mentioned in other posts, the horse is unused to stopping in this open space—"Between the woods and frozen lake"—as there is no sense of purpose in doing so: no building, no capacity for work on this "darkest night" at the end of the year. A rational being—horse or man—would find no reason to stop in that desolate spot on a cold night.
Some read this poem as a meditation on Dante's Inferno, a poem that seems to lurk behind other Frost poems. In Dante's poem, the fictionalized author travels between a dark woods in which he seems to be contemplating suicide, moving through the Inferno until he reaches the bottom, a frozen lake. Dante continues moving and eventually escapes his dark night of the soul, or his impulse to self-annihilation. To do this he must confront the nature of a variety of sinful impulses, one of which is suicide, represented also by a forest.
Frost's third stanza offers us another reflection on the horse's response to the speaker's impulse to sink into the tempting lull of the dark forest. He shakes his harness, to indicate that he perceives that this stopping is a "mistake," an error that needs to be corrected. From this sound, the speaker seems to pull himself out of the dream-like aspect of his own temptation to enter the woods and instead turn himself toward home.