They randomly generate throughout the world, to find one just keep digging underground.
Chat with our AI personalities
You can't make it, you have to find it in dungeon chests.
As of Beta 1.4, cocoa beans couldn't be found ingame. You can only find them inside dungeon chests. You can read more about dungeon chests on Minecraft Wiki (the link is under "Sources and related links" below this answer).
Minecraft randomly spawns different biomes. Simply create a map and explore. You'll find a forest eventually.
In the bottom layers of the map or (if you have Weekly Snapshot 12w40a or above) in swamps.
There are no horses in Minecraft but if you find a dungeon underground ( Located by mossy stone) You will find a saddle and if you get a saddle place it on a pig by left clicking it. You will have no control over the pig but is quite fun how it spins over and over again.