What I think about this song is totally opposite to what the mayority of the people have posted. For me the lyrics are about a crossroad in live, when something critical has just happened to you, like a death, a breakup or something, that you have to leave from a happy state (dog days) to pass to another, critical one coming foward in your live (the horses evoking sorrow and despair). Then is when she tries to reach back those happy days, but when she does that, the memories hurt her (Happiness, it hurts like a bullet in your mind) cause she no longer can have that in her life. Finally, the action of running is more like getting into a inner struggle to overcome the problems in which she is now, and she does it in order to not to hurt the people she loves more.