[how do you [Christians] know, or what evidence do you have that you are not the one being tricked into following a false religion?]

I use to ask myself that same question until I stumbled onto Isaiah 41 and other chapters where God challenges all gods to proove themselves through prophecy 'so that we may know that you are gods.' All other religions do not have prophecies (esp. long range prophecies) like the bible. This is how you distinguish the True God from counterfeits.