When you cook something "al horno" it means you are using your oven to cook it. Ovens are a newer method of cooking but are now used on a regular basis. "Al horno" dishes are common in authentic Mexican restaurants.
You will most likely see it in the name of a dish such as "Pollo Al Horno." Sometimes it is listed as just "Al Horno" with the different baked dishes such as chicken or fish underneath.

