House of Saddam (2008)

S2E26 All about horses

Mr. McFeely arrives with Lightning, a miniature horse, starting his visit at Rogers' TV house before heading to the Neighborhood of Make-Believe. While there, he learns that Donkey Hodie is said to have a broken arm. However, it turns out that the arm in question belongs to the windmill, not Donkey's own arm, leading to a mix-up that adds a touch of humor to the day.