"Carriage" has it right.
Actually, there is essentially no muscle below the 'mid-leg' joints--knees in front, hocks behind--in horses. The lower legs are bone, tendon, ligament and other connective tissue,blood circulation system, joint lubrication compounds, and skin, basically.
So--what's needed is to GRADUALLY increase the strength and elasticity, mostly of tendons/ligaments. The use of weights around the 'ankles' of horses does not, IMO, have the same possible 'benefits' as it would in humans, as humans have muscular structure ALL the way down the limbs, which horses do NOT. The horse 'lifts' its legs/feet 'higher' in an instinctive attempt to rid itself of the think 'attached' to its foot or leg...not really the same thing as a fitness program, I don't think--so I personally think it's questionable whether weights, 'stretchies' and the like actually bring a horse to a higher level of fitness or 'build muscles', per se.
Margo