I was having a horse-ridng lesson the otherday and got thrown off the horse. Instructor came over and he asked me if I was winded. I said no because I didn't know what it meant. Can someone please tell me :)

What he meant was whether you lost all of the air in your lungs when falling on your back... "Was the wind knocked out of you."

Was it hard to catch your breath again?

It means you got the wind knocked out of you i.e. when you fell you would have compressed your chest and that would push the air out of your lungs. Typically the person needs a few minutes of deep breathing to get back up to speed (plus the adrenaline flowing would make your heart beat faster and your breathing rate increase).

Thank You! :)