It would depend on a number of factors, including the personality of my boss, how critical the issue is, and the overall situation.

If my boss did not like having his authority brought into question or challenged, or was prone to anger, I would probably never tell him he's wrong. I would simply be polite, try to understand his perspectve and what he is wanting to get accomplished, handle the situation the way I know it needs to be handled, and then provide my boss with the results he desired.