Sahih Muslim Book 1, Hadith Number 222.

Chapter : Pertaining to the virtuous act of a man before embracing Islam.

Hakim b. Hizam reported to ‘Urwa b. Zubair that he said to the Messenger of Allah: Do you think that there is any thing for me (of he reward with the Lord) for the deed of religious purification that I did in the state of ignorance? Upon this he (the Apostle of Allah) said to him: You accepted Islam with all the previous virtues that you practised.