This expression is used to say that even if you give someone the opportunity to do something, you can’t force that person to do something they don’t want to do.
«I suggested that she make one of her New Year’s Resolutions to start going to the gym. I even got her a three month membership to the best gym in town, but she still hasn’t started going! Well, you can lead a horse to water… (but you can’t make it drink!)«