A slightly more passive approach that does not immediately involve HR or Legal (incl. external lawyers) and gives you a chance to gather documentation is to delay your action on the task (not refuse it directly) and when the manager follows-up with you on it simply state:
Sorry, I forgot about it in the midst of XYZ. Can you send me an email so I don't forget? Please and thank you.
This way you have it in writing, for documentation purposes (I would print some hard copies of it as well, just for CYA sake). This also might have the manager rethink the order (i.e. he/she got the subtle hint that you are not going to do something ethically questionable or otherwise illegal without it being traceable back to him/her) and just forget/ask someone else. If he/she is disturbed by the fact that you are asking for an email/written documentation then simply and very politely and calmly say:
I sincerely apologize for any trouble or misunderstanding about this, but I just do not feel comfortable with this request and would like to get your boss's and HR/Legal's approval on this because it may be in violation of XYZ laws. (Then head to HR/Legal and/or the manager's boss's office immediately because odds are the manager is going to flex his/her management muscles).
Once either of those outcomes happen, I would consult the HR Director, or equivalent, and note that such a request was made and provide any documentation you have about the request. This way there is a record made to the legal representatives of the company for future questions or incidents. You can then submit a separate letter, or speak to the HR person directly, about your stance on the request and why, if, how, etc. it should have been/or be handled in the future (if you so desire).
This way, you have written documentation of the request and your due diligence in contacting the appropriate parties at the company if push comes to shove later on. With this, you could say that you did everything a reasonable person would have done in the same or similar circumstances and had no reason to believe the request was out of the ordinary/required further attention after consulting HR/Legal on the matter.
Disclaimer: This is NOT legal advice or any substitute thereof. Consult a professionally qualified attorney for actual legal advice. I take no responsibility for any results you may or may not incur because of my advice.
Best of luck with this issue.
With the additional information provided, there are some more points to consider:
1) Your boss is the founder of the company
Ok, so this is very important. While yes, being the founder does give him certain privileges that are otherwise unobtainable, it does not completely exempt him from responsibility or repercussions because of his actions. Without going into legal reasonings, there are factors such as employee moral, workload, efficiency, and costs associated with replacing/firing/laying off (or equivalent in Germany) employees. Do not think he is "untouchable" or "has no superior" ... that would be the public or internal employees / managers that would note such actions.
2) You do not want to do something illegal or get fired for insubordination
Sadly, you must make a choice about the issue. You cannot hold it in limbo forever, or much longer for that matter. Yes, the possibility of being let go is real, but depending on your relationship with the boss, work ethic, history at the company, etc., it is probably not likely if you are a good employee. If you feel that the request makes you uneasy then simply do not do it. Integrity is more important than money to many employers in many instances. Employers respect integrity and the willingness to stand-up and voicing concerns about an issue versus being a silent submitting "yes" man. If you have a family, then you might need to consider the financial idea of not having employment for sometime (however, you did not provide this information). You can easily reframe the firing into a positive in an interview by stating that "I was asked to do something potentially illegal and hurtful to the company as a whole and decided on the most ethical and legal action that was best for the company as a whole: voice my concern about the request and its legality".
Again, I wish you the best of luck and hope for the best.