“Why are there so many different churches if they all claim to have the Holy Ghost leading them?”
The obvious answer is that there are many wrong churches. However, this does not address the real problem raised by the question, which is…
“How can a church be wrong if the Holy Ghost is leading them?”
First, not everyone in every church is led by the Holy Ghost (i.e. not everyone in every denomination is saved).
Second, those that are can still choose not to follow his leading.
The Holy Ghost is infallible (without mistake). Men are not: we make mistakes all the time. The Holy Ghost is not the one causing confusion, people are to blame for that.
This means many men (and, yes, churches) have made mistakes about what is right.
Yes, there are many denominations and thousands upon thousands of churches. There are some things they all have in common, but there are many things about which they disagree.
Identifying truth by the unity, size, history, or tradition of a church is destined to fail, because each of those metrics are based on fallible men. There can be a tradition of fools, an ignorant crowd that all agree, false piety, and those who have a long history of error.
“If we can’t trust any church to be without error, then has the Holy Ghost failed at his job?”
God forbid! The infallibility of the Holy Ghost is not seen in the behavior or beliefs of the people in whom he dwells, but in the words of God.
The Holy Ghost inspired the Bible and preserves it specifically for the church’s use to understand the word of truth, and judge truth from error.
“All scripture is given by inspiration of God, and is profitable for doctrine, for reproof, for correction, for instruction in righteousness: That the man of God may be perfect, throughly furnished unto all good works” – 2 Timothy 3:16-17
The perfection of scripture is necessary for the perfection of the man of God by its use. The perfection of scripture precedes the perfection of the man of God. Even the apostle Paul said that he had not already attained perfection.
“Not as though I had already attained, either were already perfect: but I follow after, if that I may apprehend that for which also I am apprehended of Christ Jesus.” – Phi 3:12
No matter what churches agree or disagree about, the Holy Ghost’s words in the Scripture are the arbiter of what is right. The word of the Lord endureth forever (not this or that denomination or interpretation).
“But the word of the Lord endureth for ever.” – 1 Peter 1:25
The church is the pillar and ground of the truth because those in the church were entrusted with the truth. That truth is literally spelled out in the pages of Holy Writ. Every time you open the Bible you can read the Holy Ghost’s infallible success.
How do you find a church following the Holy Ghost’s leading?
You begin by finding where the people give proper authority to the word of God in the Bible, and that rightly divided, over any word or will of fallible men.
If you are looking for an infallible church, you won’t find it. If you are looking for an infallible discerner of truth in the hearts of men, then open your Bible and read the words of the Holy Ghost.
“For the word of God is quick, and powerful, and sharper than any twoedged sword, piercing even to the dividing asunder of soul and spirit, and of the joints and marrow, and is a discerner of the thoughts and intents of the heart.” – Hebrews 4:12