Perhaps sit him in front of the TV and show him a skin cancer health warning video?
Failing that, as some others have suggested, zinc cream is the way to go. I'm not sure about the US but it's very easy to find here in Australia where skin cancer rates among people are very high thanks to good ol' ozone thinning. It even comes in neon colours which are kid safe (but not sure if they're horse safe?). It's way harder to wash or rub off than the usual sunscreen lotion and it doesn't run in the sun. Very popular among cricketers who have to stand around a field all day in the middle of summer!