In their case, perhaps a long rope tied from their waists to the car door would be a better "guidance system".
What you refer to is called Orienteering and, specifically, a String Course for those 4 to 7 years of age.
The string course is a short orienteering course which is marked by a continous ribbon or yarn.
Same link: http://www.us.orienteering.org/OYoung/StringO.html
Anyhow, I've done some of this, Orienteering, it's fun, trying and a good exercise...
What is really cool about the sport is it can be done while running or walking. Also, people of all ages do it - I've had a 65 year old guy run by me at a full sprint.