It is probably possible for a ‘unicorn’ (if we think of it as a horse with a horn) to evolve, but whether it would ever actually happen is almost impossible to say. I do think it is rather unlikely though. But if we assume that there is no developmental barrier to an outgrowth of bone (for example) on the skull of a horse, then given the right mutations and strong enough selection pressure (difficult environmental conditions that favour adaptations), then I don’t see a reason why it would be impossible.
That said, we do actually have a ‘unicorn’ (in a sense) alive with us. The Indian, or one-horned, rhinoceros has the scientific name of Rhinoceros unicornis. Unicornis (and unicorn) simply means ‘one horn’, and this species of rhino has one large horn – and also looks like it is wearing a suit of armour! What’s more, rhinos are actually reasonably closely related to horses, as they are in the same group (called Perissodactyla).
What an interesting question! Like Kev and Alex said, with the right selection pressures there is no reason why a horse could not evolve and leave us with unicorns. I agree with them both though, it is probably pretty unlikely – probably your best chance to meet one is to open a book about mythical creatures 🙂