You can add an IF statement to add messages directly to the login.php page and create a different message for each failed page you might want specific instructions for.
The syntax would be:
<?php
if (isset($_GET['accesscheck']) && strpos($_GET['accesscheck'],"horse_create_profile.php") !== false) {
?>
<div> you have to log in before adding a horse to your profile. Please log in below in order to continue</div>
<?php
}
?>