Band of commandos with horse (4)
I believe the answer is:
sash
'band' is the definition.
(a band of material)
'commandos with horse' is the wordplay.
'commandos' becomes 'SAS' (Special Air Service).
'with' means one lot of letters go next to another.
'horse' becomes 'H' (abbreviation as in horse power).
'sas'+'h'='SASH'
'of' is the link.
(Other definitions for sash that I've seen before include "Waistband - type of window" , "Framework holding window panes" , "Part of a window - decoration" , "Window frame; cloth strip (worn over shoulder)" , "Broad band, the one me father wore?" .)