Instructions:
Prepare the Skewers: To make the skewers, soak 4 bamboo skewers (8 to 12 inches long) in water for about 30 minutes. (You can skip this step by using metal skewers.)
Make the Skewers: Make each skewer by placing a piece of beef, then a strip of bacon, then the onion, then the pepper. Repeat until you have used four pieces of beef, three strips of bacon, three pieces of onion and three pieces of pepper. Repeat with the other three skewers.
Lightly salt and pepper each skewer, brush with a bit of vegetable oil and let marinate for 1 hour.
Prepare the Horseradish BBQ Sauce: In a small saucepan, combine all ingredients and bring to a simmer over low heat. Simmer for 5 minutes to allow the flavors to combine.
Remove from heat and allow to cool. Chill until ready to use.
Place the skewers on the grill over medium heat and brush with the BBQ sauce. Cook until the bacon is crisp and the beef is warmed through.
Place skewers on plates and top with a bit more of the sauce.