Well I always go for higher ISO because noise/grain is better than blur/underexposure. Easier to fix, more tolerable to leave in, etc... But you say you are going to be shooting film? I would think you'd want to set your ISO to whatever the speed of your eventual film will be using, otherwise your D5000 photos won't really be representative of the final exposure you go for on your other camera using film. Unless this exercise is confined to your digital camera, I wasn't clear on your intention there. If you can, crank that sucker up. (Note: I don't shoot Nikon so I don't know how high you can go before it gets "bad"

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A larger aperture isn't going to get you
that much. Roughly 2-3 stops of light depending on if you go f/2.8 or f/1.8 respectively. And then you're introducing DOF concerns... maybe you like the idea of a shallow DOF but you'd probably end up forcing yourself to pre-focus and predict where the horse was going to be because you wouldn't be able to focus and take the shot fast enough. Maybe not, but that was my first thought on that matter. Also, I personally believe that buying something new should never be the first solution especially on an unpaid gig... that can get really expensive really quickly!
Finally shutter speed... yeah if you are locked into an ISO and a f-stop, the only other thing you can do, barring adding more light, is slow down the shutter speed. But you might already need a faster shutter than you're using if those horses are actually doing jumps, etc... If they are relatively stationary or walking slowly you might be able to go slower. You could also pan and track the horse, although that's not technically stopping motion, but it would allow you to use a lower shutter speed.
As for the frustratingly dark image, did your camera indicate a correct exposure before you took it?
TL;DR It's kind of a pickle if you're only solution is to slow down the shutter speed while your goal is to keep it fast, but you do have to "buy" those stops of light from somewhere.