I got bored one day and decided to make this. I hope it gives you some ideas.
I'd like to see you improve upon it.

Have fun!

Step 1: Step One

Get the horseshoes you want to use. Hopefully all the same size.
You'll also need a welder (I used flux core wire) and some knowledge on how to use it.

Step 2: Step Two

Once you have your shoes, start from the bottom up.
Depending on how many you choose (I used seven) determines how the set up is.
I added the seventh as the "trunk" after the tree was finished.

Step 3: Step Three

Make the base.
I chose three larger shoes for this step.

Step 4: Step Four

Weld the tree and base together.

Step 5: Last One

Paint it or leave it the natural metal color (I suggest clear coating to keep from rusting). Add ornaments and such.
I'll finish mine up after making a star out of horseshoe nails.
That'll be posted at a later day.

Step 6: Bloopers

My hood broke when I was getting started. Luckily I had paracord on hand.