Lord Abert Rust was a Morporkian general who, in the manner of these things, had an equestrian statue erected in his memory at great cost by public subscription, even though he lost all his battles with great bloodshed and serious loss of life. From context in I Shall Wear Midnight, the statue may stand somewhere between Pseudopolis Yard and Tenth Egg Street, as Tiffany Aching and Mrs Proust encounter it whilst trying to evade a witch-hunting mob summoned up by the Cunning Man. Mrs Proust, the City witch, then puts it to good use to confuse and confound their pursuers.
Think of the song "The Equestrian Statue" by prankster musicians the Bonzo-Dog Doodah Band, in which a statue in the park takes it into its head to wake up and have a canter up and down the square. ("Little old ladies stop and say "Well, I declare!")