Sahih Muslim Book 4, Hadith Number 1538.

Chapter : The undesirability of observing Nafl prayer, when the Mu’adhdhin begins Adhan.

Abu Usaid reported that the Messenger of Allah (may peace be upon him) said: When any one of you enters the mosque, he should say: “O Allah ! open for me the doors of Thy mercy”; and when he steps out he should say: ‘O Allah ! I beg of Thee Thy Grace.” (Imam Muslim said: I heard Yahya saying: I transcribed this Hadith from the compilation of Sulaiman b. Bilal.)