I agree with everyone that mentioned the straightening iron. I had a rainbow curl pony that I got in the mail yesterday that had practically dreadlocked hair. I combed through a bit, then washed and conditioned and combed more. Then I flat ironed on low with the conditioner in. I do 3 passes through with the flat iron, then brush, add more conditioner, brush and repeat 2 or 3 times. I curled her hair with skinny markers after. She looks beautiful now.
I've used this method on lots of frizzy haired ponies.