When you are looking for something that is not where you are looking, you are "barking up the wrong tree." Example: "I know you think I stole your umbrella. But really, I don't have it. You are barking up the wrong tree."

You are like a dog that is barking up at a tree that has nothing in it. This may also mean trying to find the answer to some problem by using the wrong approach. Example: "I have been trying to solve this one problem for an hour. I really do not know how to do it." Reply: "Yes, I can see that. You've been barking up the wrong tree."