"Horned Monster"

From Xenopedia

The Horned Monster was a Predator who came to the New Mexico desert to hunt humans. It was named the "Horned Monster" after a Native American legend. After landing on earth, its ship was captured by the U.S. military; the Monster was then forced to use the self-destruct mechanism aboard its ship. The Horned Monster was killed by Corporal Enoch Nakai.