Most horses should have their testicles descended at birth or by a couple of months of age. The inguinal ring begins to contract by six months, increasing the chance that you will be dealing with cryptorchidism. Occasionally stallions do not drop until 1-2 years but this is uncommon and if your horse has not dropped by 1 year he should be examined for cryptorchid (retained testicle).
If he is a crypt, you'll need to deal with it surgically. This can cause tumors that occasionally metastasize or can lead to colic. To read more about it check out this article: The Horse | Stallion or Gelding?
and no, I'm not partial, just because my mentor is interviewed in it! ) =p