Filet Mignon with Red Wine-Horseradish Sauce. For sauce: 1 tbsp butter, 1 cup shallots (chopped), 1 tsp black peppercorns (crushed), 2 fresh thyme (sprigs or 1/2 teaspoon dried), 2 cups dry red wine, 1/2 cup whipping cream, 1 tbsp horseradish (prepared white). Pin doesn't say, but here's my guess: Saute shallots in butter until soft; add peppercorns, thyme, and wine, and simmer a minute or two. Add cream and horseradish and heat till warmed through. Spoon over steaks before serving.