I'm not trying to be rude, but just telling us your horse is coughing doesn't us enough information to give you advice to what may be causing this or how to take action. Knowing things like your horses temperature, how persistant her coughing is, or if she has any chages in behavior would be great hints to pinpoint a source of the coughing.
If your horse has been coughing just recently, it may be allergies. It is march and things are beginning to bloom, animals are shedding like crazy, and your barn is bound to be at its peak of dirtiness (At least I never like to clean it in -5 degree tempurature
) which means there will be an explosion of allergens.
My other guess would be a reperatory infection. In any case, I would call your vet and have him/her check your horse out. It's alway better to be safe than sorry, and if need be they will prescribe medication for you horse.
Hope this helps!