Horizon doesn’t let you use mod menu’s, to do that you need a modded xbox, either a JTAG or an RGH.
What Horizon does let you do is mod your gamesaves for most single player games but also does allow some online modding, which is the most riskiest out of all the type of modding Horizon let’s you do.
To use Horizon,
1a. Just install it to your computer like you would with a regular application.
1b. Then take a USB and plug it into your Xbox and format it (Press Y and then choose Format).
2. Then pick a game that you own and that is mod-able with Horizon, i.e. Oblivion.
3. Take a gamesave from your Xbox for that game and move it to your USB. So you would take a gamesave data of Oblivion from your Xbox and move it over to your USB.
4. Plug your USB into your computer, load up Horizon and find Oblivion in the scrollbar at the top and double click it to start modding.
More info about Horizon here - What is Horizon?
Tutorials on modding certain games with Horizon here - https://community.wemod.com/c/horizon/tutorials