I always called it a Wild-goose chase
An example would be "a wild goose chase". An example of the use of this is:
I tried to tell him he was going on a wild-googlegoose chase.
http://en.wiktionary.org/wiki/wild-goose_chase The Online English Wiktionary states that:
Early recorded use refers to a type of 16th century horse race where everyone had to try to follow the erratic course of the lead horse, like wild geese have to follow their leader in formation.