If you contact a "tail-maker" you can ask about custom tail colors, such as http://www.customtails.com
- hard-to-match tails are their specialty!
Not cheap, but it's probably going to look nicer and more authentic/real than something you'd be able to make yourself. Probably the best route to go if you're going to be showing rated or breed shows.
I guess if you really wanted to try making your own, you could google search horse hair and see if you can find a site and buy 1-2lb (depending how much tail you need I guess) of horse hair that matches your horses tail colors, then see if you can make your own tail out of it. I guess most tails are just sort of bound together at the top and then have a loop or loops for braiding them in.