Um, I asked my mate (since he plays more than me) He suggests that you should fast travel to a location to see who your follower is....if he/she doesnt appear near you, go and find another one of your followers and get them to follow you. Then you should be able to finish your quest.

they say I already have one when I try and when I fast travel the only thing with me is Shadowmere the dark brotherhood horse but no one is able to tell me if he counts as followers or not not even the wikia for Skryim.

no shadowmere does not count as a 'follower'

have you started the companions quests? that sets farkas as a follower he waits by the first tomb you have with them i think its Dustman's Cairn your stuck with him till you complete the quest

also if youve become thane in any city check to make sure they havnt latched on to you isnt hard to double check