Well, I have an orphan that we raised. He thought he was a human for a little while, but as soon as he could be weaned we put him with some sweet mares to let him learn he is a horse. Poor little guy still doesn't know how to play, but we put him with the others as soon as we could. (since he has been with adults there were also other foals his age that did try to play with him)
Although the behavior is entertaining for us, in a way its very sad that the foal doesn't know its a horse. It will never be a completely "normal" horse when dealing with other horses, goats, or people.