Sahih Muslim Book 41, Hadith Number 6930.
Nafi’ b. Utba reported: We were with Allah’s Messenger (may peace be upon him) in an expedition that there came a people to Allah’s Apostle (may peace be upon him) from the direction of the west. They were dressed in woollen clothes and they stood near a hillock and they met him as Allah’s Messenger (may peace be upon him) was sitting. I said to myself: Better go to them and stand between him and them that they may not attack him. Then I thought that perhaps there had been going on secret negotiation amongst them. I however, went to them and blood between them and him and I remember four of the words (on that occasion) which I repeat (on the fingers of my hand) that he (Allah’s Messenger) said: You will attack Arabia and Allah will enable you to conquer it, then you would attack Persia and He would make you to Conquer it. Then you would attack Rome and Allah will enable you to conquer it, then you would attack the Dajjal and Allah will enable you to conquer him. Nafi’ said: Jabir, we thought that the Dajjal would appear after Rome (Syrian territory) would be conquered.