Using a long knife, make a cut through the center of the eye of the Prime Rib roast from one end to the other, lengthwise. Repeat this step, giving your knife a quarter turn, making an x shape in the center of the roast. Using a sharpening steel or the handle of a wooden spoon, insert into the cut and move in a circular motion to create a larger opening. In a large bowl, combine the blue cheese, horseradish and garlic and mix thoroughly. Season the outside and the cavity of the roast liberally with salt and pepper and fill the cavity with the cheese mixture. Sear in a heavy pan over high heat and place in a 300 degree oven for two and a half hours or until an internal thermometer reads 130 degrees. Remove from the oven and let rest 30 minutes before slicing.