What does a rhino have now that it didn't have before evolution?

The answer to the question is: everything.

Evolution didn't start with rhino's. Rhino's evolved from prior organisms, which in turn evolved from yet different organisms, all the way back to the origin of life.

For instance, the rhinoceros share an ancestor with modern tapirs. The horn of the rhinoceros evolved as the ancestors of modern tapirs and rhinoceroses diverged. But rhinoceroses and tapirs share a more distant ancestor with horses, and have developed many more unique morphological characteristics since the onset of that divergence.