While searching for the Shire, the Nazgul stop at Orthanc to see if Saruman knows anything. Saruman refuses them entry because a. He's keeping Gandalf prisoner on the roof and doesn't want them to know, and b. Is afraid of them. So he tells the Witch King of Angmar he hasn't a clue where the Shire is and sends them back towards Rohan. The Nazgul bump into Grima, who out of sheer terror immediately reveals Saruman lied to them. The Nazgul are not amused.