Sahih Bukhari Volume 4, Book 55, Hadith Number 639.

Narated By ‘Abdullah : When the Verse: ‘Those who believe and mix not their belief with wrong.’ was revealed, the Muslims felt it very hard on them and said, “O Allah’s Apostle! Who amongst us does not do wrong to himself?” He replied, “The Verse does not mean this. But that (wrong) means to associate others in worship to Allah: Don’t you listen to what Luqman said to his son when he was advising him,” O my son! Join not others in worship with Allah. Verily joining others in worship with Allah is a great wrong indeed.” (31.13)