Why does the horse think that a mistake has been made in "stopping by woods on a snowy evening"?
The horse's behavior suggests that this is a familiar route. No doubt it runs from the speaker's farm into town and back, and the horse has been over it countless times. Proof that it is familiar is provided by the opening lines:
Whose woods these are I think I know.
His house is in the village though;
He will not see me stopping here
To watch his woods fill up with snow.
My little horse must think it queer
To stop without a farmhouse near
Between the woods and frozen lake
The darkest evening of the year.
The sense of this line is to emphasize how unusual it is for the speaker to stop on his long trip, here or anywhere, and gives us (the readers) the sense of how out of their normal habits and patterns is this pausing to look at, and hear, and feel, the world around them. While a human being may intentionally change his behavior, the horse, without self-consciousness, does not have the ability to understand why the pattern of behavior -- steady plodding home to the barn -- has been altered. There is a kind of soft personification here -- Frost is giving the horse some human traits -- asking if there is some mistake (by giving his harness bells a shake -- not really purposely asking a question), thinking it queer, etc.