Steps:
- 1 Sauce:. 2 At least two hours prior, mix together the mayonnaise, sour cream, horseradish, mustard and lemon juice; cover and place in refrigerator. 3 Steak:. 4 Adjust oven rack to lower-middle position, place rimmed baking sheet or cast iron griddle on oven rack, and heat oven to 450 degrees. 5 When oven reaches 450 degrees, heat 10-inch heavy-bottomed skillet (not nonstick) over high heat on stovetop until very hot, about 3 minutes. 6 Meanwhile, rub each side of steaks with 1/2 teaspoon oil and sprinkle generously with salt and pepper. 7 Wrap 1 slice bacon around circumfrence of each filet, overlapping ends and securing to meat with toothpick. 8 Place steaks in skillet and cook, without moving steaks, until well-browned and a nice crust has formed, about 3 minutes. 9 Turn steaks with tongs and cook until well-browned and a nice crust has formed on second side, about 3 minutes longer. (watch carefully).
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