"You will invade the Arabian Peninsula and Allah will grant it (to you). Then (you will conquer) Persia and Allah will grant it (to you). Then, you will invade Ar-Rum and Allah will grant it (to you). Then, you will invade The Dajjal and Allah will grant him (to you)." Nafi' said to Jabir, "O Jabir! We do not believe that the Dajjal will appear until Ar-Rum is conquered." [Ibid., no. 2028]
The land of Ar-Rum is Europe and Rome is its heart. The Messenger of Allah gave us the good tidings that we will conquer Rome, the capital of Christendom today, after the Muslims conquered the first capital of Christendom, Constantinople.
Imam Ahmad narrated that Abdullah bin 'Amr bin Al-Aas said, "While we were around the Messenger of Allah) writing (the Hadith) the Messenger of Allah sallallaahu `alayhi wa sallam was asked/ 'Which of these two cities will be conquered first, Constantinople or Romiyah (Rome)?' He said, 'The city of Heraclius will first be conquered.' He meant Constantinople.'' [Al-Hakim, Al-Mustadrak, vol. 4, p. 508. Also, see As-Silsilah as-Sahihah, vol. 1]