The second most counter-intuitive thing to do is lift off the brakes when you're turning and braking at the same time and your front wheels lock!
The MOST counter-intuitive thing you have to do in that situation is unwind the steering wheel! This usually means you steer back in the direction of the thing you were trying to avoid in the first place! What this allows is for your front wheels to turn back in the direction of their travel (which is, by this time 15 to 45 degrees away from where they're pointed) enough to begin rolling again. By this time, you've scrubbed off enough speed to turn in again, this time (hopefully) making the turn!
Think of yourself as traveling in something called the "traction circle". Your tires have traction all four directions. If you hit the gas and break the tires loose, you've gone off the back of the circle and you have to lift off the throttle to get back in. If you lock your brakes, you've gone off the other end. Your tires have maximum turning grip at a steady speed in either direction. Here's the catch and why this is a circle: If you're accelerating or braking, you don't get as much turning grip, and vice versa.
They don't teach this in Driver's Ed. Oh, wait, we don't have that in schools any more! Well, get your license and learn the hard way; on the street. But that's another rant!