Make horseradish cream sauce: Combine well and refrigerate until ready to use.
Make tenderloin: Preheat oven to 500 degrees. Pat tenderloin dry with a paper towel. Mix the butter, Worcestershire sauce, and garlic. Generously coat the tenderloin with mixture. Salt and pepper liberally. Place tenderloin on a rimmed baking sheet that has been covered with foil. Roast for 25 minutes for rare and 28 minutes for medium rare. Remove from oven and cover with foil. Allow tenderloin to rest for at least 10 to 15 minutes. The filet will continue to cook. Slice thin and mound on serving platter. Serve with horseradish cream sauce.
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