Put on an apron and always - ALWAYS - wear disposable gloves when handling beetroots. Otherwise, the stains will never come out of your clothes and your hands will have a butcherlike colour for quite some time.
Cut off the leaves to about 1 cm and put the beetroots onto a baking tray. Bake them in the oven at a temperature of 175 °C (350 °F) for 60 - 90 minutes, depending on their thickness. When they feel soft, they're ready.
In the meantime, mix the vinegar, sugar and salt and put it to a boil. Wash the horseradish, peel it and grate it.
Peel the cooked beetroots and chop them into squares. I do not recommend slices as they fall apart easily.
Layer the still-warm beetroots with the spices into jars. Fill up with the hot fluid and close the jars tightly with lids. Store the pickled beetroots in a cool and dark place.