A. Grin and lip-sync to the track as if nothing had happened and you meant to sing that song all along.
B. Pull an Elvis Costello and try to stop the music, saying "I'm sorry, ladies and gentlemen, I see no reason to do this tonight" and then launch into Radio, Radio.
C. Dance a goofy little jig for a few seconds while your vocal track continues to play and then slink offstage, embarrassed, while the musicians continue to play, looking bemused.
According to pop star Ashlee Simpson, the correct answer is
Also, according to her, you have to blame the band at the end of the show, saying "My band started to play the wrong song!" which is, really, the Classy Way Out.