Preheat oven to 400 degrees. Line the bottom of a baking sheet with aluminum foil. Place the beet in the center of the foil and coat it with olive oil and ½ teaspoon salt, being sure to cover all sides. Wrap the foil around the beet, creating a loose pouch that covers it entirely.
Bake for 45 minutes -1 hour, or until a knife easily slides through the beet. Carefully unwrap the foil in order to let steam escape, but do not remove the beet or any liquid from the foil. Allow the beet to cool completely.
Carefully peel the skin from the cooled beet (it should easily slide right off with a paring knife). Cut the beet into one-inch cubes. Add the cubes and any remaining liquid into the bowl of a food processor and puree, about 1-2 minutes total, being sure to periodically scrape the sides of the bowl (note: if the beet does not easily puree, add 1-2 tablespoons of the sour cream into the food processor and continue to blend).
Add the beet puree, the horseradish, the mayonnaise and the sour cream into a mixing bowl and gently fold until all ingredients are fully incorporated. Add the remaining salt and the freshly cracked black pepper. When stored in an airtight container and kept refrigerated, the crème will keep well for about one week.