What happens when you're told to do the wrong thing?

So I was reading the news story Military Was Set To Down Cessna - Yahoo! News and came across the following quote: "(T)he pilots said they had trouble communicating on the radio frequency that a customs helicopter crew signaled for them to use. Officials from the Federal Aviation Administration and Customs and Border Protection confirmed the communications problems cited by the Cessna pilots. ... Sheaffer's (The pilot's) attorney, Mark McDermott...said Sheaffer would have left the restricted airspace sooner if the radio frequency were working. "

Now, I'm not a pilot, I don't know about FAA regulations, and I'm not going to get into that. But I'm just wondering -- what's "the right thing to do" when you're doing what you think is okay, an official from the government directs you to do something else, you do the very thing they instruct you to do, and that thing is dead wrong (and makes you look stupid, and, in this particular case, gets you a few seconds away from being blown out of the sky)?

Disobeying a lawful order gets you punished (or killed!); obeying a lawful but incorrect order gets you punished (or killed!). Obviously, you should obey unless you know for sure that obedience is bad... but if you do know that obedience is bad in a particular case, what should you do?

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