What did the angel told the shepherds to follow?

The angel did not tell the shepherds to follow anything at all. They agreed amongst themselves to go and see the Baby.

In Luke 2:15 it states that the shepherds spoke to one another and said "let us go to Bethlehem and see this thing that has happened which the Lord has revealed to us".

There was a Star that was followed by the wise men from the east who saw it in the sky and understood this phenomenon was a sign of the birth of the King of the Jews and they followedthis Star on their journey.