How do I tell my supervisor his idea is incorrect?
The safest approach is always to make it a question about you rather than about them. "I'm confused. You said... but I had previously read/been told/seen ... instead. The two seem to conflict; can you help me understand what I'm missing, or what that other reference was missing?"

They may be able to show that there isn't actually a conflict. They may be be able to show that you misunderstood something, or that the other reference was outdated, incomplete, doesn't apply in this situation, is an alternative theory that they disagree with because.., ... Or they may say "oops, you're right." 

By not accusing them, you avoid embarrassing yourself if they were right, give them space to correct themselves gracefully if they were wrong, and maximize your own opportunities to learn.