Cowboy Magic is amazing. It's best to pick them out one by one, starting at the bottom. Then braid the tail and put it in a tail bag until the end of burr season. Good luck.
You could also try cowboy magic concentrated conditioner
I've never tried it, but I heard that Avon Skin So Soft works like magic. Put it on and let it soak for a while and the burrs will just brush right out.