Very famous (skip to 3:10 for the passage in question). The story is in the description:
This is a legendary recording. In his book "Horowitz," Glen Plaskin writes, "the French master (Cortot) did give him (Horowitz) occasional lessons and assignments. These began in 1928 and continued sporadically for the next few years. Cortot was struck by the clarity and projection of Horowitz's tone but showed distain for the idea of making a career on temperament and technical brilliance. 'Horowitz has a great genius for getting things ready for performance' Cortot would tell his students. But Cortot made no secret of his reservations about Horowitz's intellect, and was never convinced that as a performer he desired to be a re-creator in service of the composer. A Cortot pupil, Thomas Manshardt, remembered that Cortot believed Horowitz 'came to study in order to discover how he, Cortot, managed the double notes in the Etude en Forme d'une Valse by Saint-Saens, which Horowitz concidered a miracle of velocity and light brilliancy as played by Cortot. Cortot thought this an inadequate reason for studying. Years later he gleefully declared, 'I never told him how it was done.'"