Yes, as much coverage as you can get. Sweatpants or slick pants, and a long coat. I'd also put a hood over your head if you can. I'm not sure about everyone else, but I know it doesn't take much for my hair to absorb horse smell. I don't normally mind, but it's not good when you're going somewhere, haha.
You can always keep a bottle of body mist to use before you hop in the car, too, to help. I'd stick with a simple scent, though. The flowery ones might make it worse ;)