Female pin worms move down the bowel and emerge at the horse's anus where they lay their eggs. The eggs, and the jelly-like substance which attaches them to the horse's skin, irritate the horse and may cause it to rub on woodwork, etc.. This causes hair damage and this can be a sign of infestation.
The larvae hatch in a couple of days and drop off into bedding, and are ingested by the horse and so the cycle continues.
Stabled horses are more susceptible than those kept out, as the larvae do not normally exist for long on pasture.