Arrange the steaks in a single layer in a shallow dish. Combine the horseradish, Dijon mustard, wine, lemon juice and pepper in a bowl and mix well. Pour the horseradish mixture over the steaks and turn to coat.
Marinate, covered in the refrigerator for 1 hour, turning occasionally. Grill the steaks on a gas grill until medium-rare. Top with the capers.