How exactly did the story get started about Catherine the Great and a horse?

From the Stories-Mutate department, here's this from Salon:

[...] the only rumor most people know concerning Catherine the Great is that she died while attempting to have sex with a horse.  The slightly better-informed might also be dimly aware that she is the monarch for whom "Potemkin villages" -- false fronts designed to present the appearance of thriving towns where none actually existed -- were supposedly built along the road to Crimea.

It turns out that neither of these legends is true, and while reality can hardly hope to compete with such yarns when it comes to sheer sensationalism, the stories raise a provocative question: Why did people tell them in the first place?

Laura Miller, "What was so great about Catherine?," in Salon, Feb. 13, 2007, reviewing Catherine the Great: Love, Sex and Power, by Virginia Rounding (emphasis and extra paragraphing added).