Melt 1 tablespoon butter in heavy medium saucepan over medium heat. Add shallots, peppercorns and thyme and saute mixture until shallots are tender, about 5 minutes. Add 2 cups red wine. Increase heat and boil until liquid is reduced to 1 cup, about 20 minutes. Strain sauce and return to same saucepan. Add 1/2 cup whipping cream and boil until reduced to sauce consistency, abut 7 minutes. Stir in horseradish. Season to taste with salt and pepper. Stir in strained shallot and spice mixture. (Can be prepared 1 day ahead. Cover and refrigerate. Bring to simmer before using.)
Stovetop