I also, always wondered about that line.
I interpreted it as asking God to save us from temptations. For example, if I were to go to point A, then I would be exposed to something that is a temptation to me, so God please lead me not to point A, but, to point B where there will be no temptation waiting for me.
In other words, keep me from being exposed to temptations - be it people who are bad influences, places, sounds, smells, jokes, sites, etc.
It's not that God would lead me there in the first place, but, may He help me to steer clear from such bad influences.