In a bowl, combine the egg, milk and cracker crumbs. Crumble meat over mixture and mix well. Pat into a greased 5-3/4x3x2-in. loaf pan or shape into loaf and place in a shallow baking pan.
In a small saucepan, bring glaze ingredients to a boil; pour over loaf. Bake at 350° for 35-40 minutes or until a thermometer reads 160°, basting occasionally. Meanwhile, for sauce, place mayonnaise and horseradish in a bowl. Fold in whipped topping. Serve with ham loaf.