Prepare dipping sauce: In a small bowl, combine mayonnaise, soy sauce, mustard, horseradish, and pepper. Stir until smooth and set aside.
Heat olive oil in a large skillet over medium-high heat. Add sausage links and brown on all sides, cooking about 12 minutes total. Carefully add beer and bring to a boil. Reduce heat to a simmer, cover, and cook until sausages are cooked all the way through, about 10 to 15 minutes. Remove from pan and cut into bite-size pieces. Serve with Spicy Mustard Dipping Sauce.