Yep, I've done it, but it's not the easiest thing in the world to do. For starters, you'll need to compile your own version of PHP with the IMAP extension. (You should be able to find instructions on how to do this at wiki.dreamhost.com.) I believe it will want some PEAR modules, too. Also, Horde doesn't have a fancy auto-installer yet, so it will involve a certain amount of manually editing config files. All the instructions are in the documentation that comes with Horde.
So yes, it's possible, but be prepared to spend an hour or two on it.