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Slice the kielbasa crosswise 1/2 inch thick diagonally. Heat 2 tablespoons olive oil in a medium (10 to 11-inch) sauté pan, add the kielbasa, and cook over medium-high heat for 5 to 6 minutes, turning occasionally, until the kielbasa is nicely browned on both sides.
Meanwhile, in a medium bowl, whisk together the mayonnaise, Dijon mustard, whole-grain mustard, horseradish, 1/2 teaspoon salt, and 1/4 teaspoon pepper. Serve the kielbasa hot from the pan with small wooden skewers and a dish of the mustard sauce on the side for dipping.