I would train some other pets first. Try a couple of CuSidhes for instance. Learn the training process very well before you train this one.
You Dreadmmare is likely worth 1 Plat (=1 Billion UO gold), so you do not want to ruin it. Also regardless of how you train it, it will lose value most likely, and if you train it "wrong", it will be worthless and unsellable.
There are some posts on training these, would search the forum. Also if you really want to train it, would first do this after copying your character/pets to Test : TC1. You can experiment there with no harm done.
Dreadmares not only no longer spawn, but they are perhaps the most desirable pet and most expensive pet second only to the Paragon Color Cusidhes selling for 3-5 Billion uo gold. The market is there for them both PvP and PvM.
The other people in this forum can give you great ideas about how to do it. But it will always depend on what you plan to hunt with it.
Check for these other pets in your stable:
PP White Wyrm -- Very valuable.
PP Nightmare -- Also very valuable.
PP Bake-Kitsunes -- Valuable but less so.
I would post the entire list of PP pets you have in this forum and you may be surprised what you get to learn.
Good luck and welcome back to the game!