During the segment where Flounder, D-Day, and Bluto put Neidermeier's horse in the Dean Wormer's office, D-Day gives Flounder a gun loaded with blanks. When Flounder shoots the gun into the air, watch the barrel. you should see a small, silver, bullet-like thing come flying out the barrel.
The story about frat boys leading a horse into a building(other than a stable) was brought about because of a few frat boys at the University of Massachusetts, Amherst. They "borrowed" the horse and led it to the upstairs of their house during one of their keg parties. They could not figure out how to get it down as it would not follow them. They finally admitted defeat and called the barn to come get one of their school horses. No, they would not give actors or frat boys real guns with real bullets, what if they hit a light?
This story is a fairy tale. it depends on what part of the country your from. In north dakota, it happened at North Dakota State, if your from Iowa it, happened at the U. of Iowa, etc etc. In short in never happened it's just a legend.