The Blair Witch Project

In October 1994, film students Heather Donahue, Michael C. Williams, and Joshua Leonard set out to produce a documentary about the fabled Blair Witch. They travel to Burkittsville, Maryland, formerly Blair, and interview residents about the legend. Locals tell them of Rustin Parr, a hermit who lived in the woods, who kidnapped eight children in the 1940s. He would take the children down to his basement in pairs and make one of them stand in the corner while he killed the other one. After turning himself in to the police, Parr claimed that the spirit of Elly Kedward, a woman executed for witchcraft in the 18th century, had forced him to commit the murders. The students then interview Mary Brown, a Burkittsville resident deemed insane by the public. She claims to have encountered the Blair Witch in person, describing her as a hairy half-human, half-animal beast.
On their second day, the students explore the woods in north Burkittsville to research the legend. Along the way, they meet two fishermen, one of whom warns them that the woods are haunted and recalls that in 1888, a young girl named Robin Weaver went missing, and when she returned three days later, she talked about "an old woman whose feet never touched the ground." His companion is, however, skeptical of the story. The students then hike to Coffin Rock, where five men were found ritualistically murdered in the 19th century, their bodies later disappearing. The group then camps for the night.
The next day they move deeper into the woods despite being uncertain of their location. They eventually locate what appears to be an old cemetery with seven small cairns. They set up camp nearby and then return to the cemetery after dark. Josh accidentally disturbs a cairn and Heather hastily repairs it. Later that night, they hear the sound of twigs snapping from all directions but assume the noises are from animals or locals.
On day three, they attempt to hike back to the car, but are unable to find it before dark, much to their frustrations, and again set camp. That night, they again hear twigs snapping but fail to find the source of the noises.
On the fourth day they find three cairns have been built around their tent during the night, which unnerves them. As they continue, Heather realizes her map is missing, and Mike later reveals he kicked it into a creek the previous day out of frustration, which prompts Heather and Josh to attack him in a rage. They realize they are now lost and decide simply to head south. They eventually reach a section where they discover a multitude of humanoid stick figures suspended from trees, which further unnerves them. That night they hear sounds again, but this time includes the sounds of children laughing among other strange noises. When an unknown force shakes the tent, they flee in a panic and hide in the woods until dawn.
Upon returning to their tent, they find that their possessions have been rifled through, and Josh's equipment is covered with a translucent slime. As they continue, they begin to show signs of mentally giving up, and it is made worse when they come across a log on a river identical to one they crossed earlier. They realize they have walked in a circle, despite having traveled south all day, and once again make camp, completely demoralized at having wasted an entire day. Josh suffers a mental breakdown while holding the camera, taunting Heather for their circumstances and her constant recording of the events.
On the sixth morning, Heather and Mike awaken to find that Josh has disappeared. After trying in vain to find him, they slowly move on. That night, they hear Josh's agonized screams in the darkness but are unable to locate him.
On their final day in the woods, Heather discovers a bundle of sticks and fabric outside her tent. As she searches through it she finds blood-soaked scraps of Josh's shirt as well as teeth, hair, and what appears to be a piece of Josh's tongue. Although distraught by the discovery, she chooses not to tell Mike. That night, Heather records herself apologizing to her family, as well as to the families of Mike and Josh, taking full responsibility for their current predicament and stating her belief that something terrible is hunting them, and will ultimately take them.
Afterward, they again hear Josh's agonized cries for help and follow them to a derelict, abandoned house containing runic symbols and children's bloody hand-prints on the walls. Mike races upstairs in an attempt to find Josh while Heather follows. Both are still filming all their actions. Mike then says he hears Josh in the basement. He runs downstairs while a hysterical Heather struggles to keep up. Upon reaching the basement, something attacks Mike, and causes him to drop the camera and go silent. Heather enters the basement screaming. Her camera captures Mike facing a corner. Something then attacks Heather, causing her to drop her camera and go silent as well. The footage then ends.

Question: What do they realize they have walked in?
Answer: Circle