I recommend finishing the game first and then to search for the hidden objects. Once the game is finished, you can start at any level and after finding the hidden objects you do not have to finish the level. Found horseshoes and hidden messages are saved globally over all save games.

There are no horseshoes or hidden messages in this level :)

If you can't access the horseshoe you probably have to flip the light switch at the entrance.

Thanks to RhythmSage for his/her video guide, which helped me finding some of the hidden objects. I'm not a big fan of watching full YouTube videos just to find a certain object; that's why I created this guide for others, who prefer image guides as well :)