Your choices were the following:

• (a) Give him correct directions.
• (b) Stare at him wordlessly.
• (c) Give him directions to the city hall.
• (d) Give him directions to the music hall.

(a) is not funny in any way. (b) is funny because it is unexpected. (c) is funny because it is an untruth. But (d) is the correct answer because not only is it an untruth, but when the guy gets to the music hall he can watch the intrinsically funny orchestra conductor in action.