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 They may be be able to show that you misunderstood something, or that the other reference was outdated, incomplete, doesn't apply in this situation, is an alternative theory that they disagree with because.., ...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.

I had some serious qualms about this when I started out research in undergrad. My advisor had some pretty mistaken notions about the topic we were pursuing at the time. He is a very approachable and understanding guy but I was still a bit hesitant to say anything. After all, he was the established expert and I was the lowly undergrad. How I approached it was along the lines of: "I'm not sure if I'm doing this correctly but would you mind checking my work? Maybe you can explain what I'm doing wrong."

You don't want to challenge or outright claim your advisor is wrong. You wouldn't do this to a friend¹ and you really shouldn't do it to an advisor - it's a good way to ruin your professional relationship. If you're right, you've come off as very arrogant and create some animosity between you and your advisor; if you're wrong, you've let your arrogance get the better of you and killed your credibility.

Professors are human and they can be mistaken more often than you'd think. You're going to run into this a lot more than you might have thought. After a while, you can start to be more upfront and honest after you've established plenty of rapport, but early on it is a bad idea.

¹ I've done this and nearly ended a friendship with a very good friend because my arrogance got the better of me.

The answer can only be politely, respectfully, humbly, and open to the idea that it is you, in fact, that is wrong. There might be something you don't understand and which your advisor can correct. Or maybe your advisor really is wrong. These kinds of academic conversations can be difficult but they are part of the most exciting parts about doing science and some of the best opportunities to learn.