Add a satellite. After you change the propagator to StkExternal, you should see the new "JPL Horizons Ephemeris Reader" as an option. You can now load the file you had downloaded from the Horizons website.
Horizons produces vector reports in Julian Data Barycentric Dynamical Time (TDB). Conversion to UTCG occurs when importing the ephemeris into STK, so reports from JPL Horizons in TDB will yield a ~70 second difference from UTCG.
In Observer reports, Horizons considers an "Apparent" measurement to include the effects of light time delay and aberration, whereas STK defines "Apparent" as the effects of light time delay only. Aberration is available as a separate option.