In A Skillet, Cook Bacon Until Crisp. Remove With A Slotted Spoon To Paper Towels. In The Drippings, Saute Mushrooms And Onion Until Tender. Transfer To A Bowl With A Slotted Spoon; Add Bacon. In Another Bowl, Combine The Egg, Worcestershire Sauce, Seasoned Salt, Salt, Pepper And Horseradish; Add Beef And Mix Well. Shape Into Six 1/4-In.-Thick Patties. Divide Bacon Mixture Among Three Patties. Top With A Cheese Slice; Fold In Corners Of Cheese. Top With Remaining Patties; Seal Edges. Grill, Uncovered, Over Medium-Hot Heat For 10-12 Minutes Or Until Meat Juices Run Clear, Turning Once. Serve On Buns.