Here's Annie's recipe for marmalade that I have used....
But you can buy marmalade...I would buy it and just add horseradish...to taste.
Orange Marmalade
2 cups thinly sliced orange rind
1 quart chopped orange pulp
1 cup thinly sliced lemons
1 1/2 quarts water
5 cups sugar
1. Add water to fruit and simmer 5 minutes.
2. Cover and let stand 12-18 hours in a cool place.
3. Cook rapidly until peel is tender, about 1 hour.
4. Measure fruit and liquid.
5. Alternate sugar with each cup of fruit mixture.
6. Bring slowly to a boil, stirring until sugar dissolves.
7. Cook rapidly, about 25 minutes.
8. When mixture begins to thicken, stir occasionally to prevent sticking.
9. Pour hot into hot jars, leaving 1/4 inch head space.

10. Adjust caps.
11. Process 10 minutes in boiling water bath.
12. Yield: about 7 half pints.
    Also notice that you have to leave the fruit sit 12-18 hours so be sure to time this so it'll be ready to start cooking when you are.
    Reminds me of that Jezabel sauce with a jar of apple jelly, one of pineapple preserves, black pepper, and horseradish.
    You might dilute the marmelade with a little lemon juice it it's too thick.
    Linda C

mindy, i did a google seach and found this recipe.

maryanne

Hungarian Orange-Horseradish Sauce : Fritz Blank, Owner, Chef de Cuisine Deux Cheminees, Philadelphia

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Sweetened with English-style orange marmalade and pungent with freshly grated horseradish, this cold sauce is a perfect embellishment for ham.

1/2 cup freshly grated horseradish
3 tablespoons "prepared" in-the-jar horseradish
1 cup English-style orange marmalade
1/2 teaspoon salt
1 cup heavy cream (to be used 1/2 cup at a time)
1 tablespoon sugar

1. Mix together the freshly grated horseradish, the prepared horseradish, and the marmalade.

2. Place 1/2 cup of the heavy cream and the salt in a mixing bowl and whip at high speed until very firm - almost over beaten.

3. Slow the mixer to medium and add the remaining heavy cream and sugar. Continue to mix at medium speed just until the liquid cream is incorporated into the whipped portion.

4. Fold the horseradish-marmalade mixture into the whipped cream and serve.

Here is a link that might be useful: orange marmalade horseradish sauce

Thanks for the responses, got sidetracked the last couple of days as the awesome weather we're finally having has drug me outside to work in my gardens. I will give both a try soon.
Mindy