The short answer
Dhul-Qarnayn, "the one with two horns," is a ruler in Surah 18 who travels to where the sun sets and rises, then seals Gog and Magog behind a wall of iron and molten copper.
Dhul-Qarnayn, "the one with two horns," appears in Surah 18:83–98 as a ruler to whom God gave power and "a road to everything." He travels to the setting place of the sun, where he finds it setting in a muddy spring, then to its rising place, where a people have no shelter from it. On a third journey he reaches a gap between two mountains, where the people there beg him for protection from Gog and Magog, who are ravaging the land.
He refuses payment and builds a barrier: "Give me pieces of iron," he says, levels the gap between the cliffs, orders the bellows blown until the iron glows like fire, and pours molten copper over it. Gog and Magog "were not able to surmount, nor could they pierce (it)." He then warns that when his Lord's promise comes, the wall will be leveled to the ground.
Most historians connect Dhul-Qarnayn to legends of Alexander the Great, who was shown on coins wearing the ram's horns of the god Amun. A Syriac text known as the Alexander Legend, usually dated to around 630 CE, has Alexander travel to the ends of the earth and build a gate of iron and brass against the Huns and Gog and Magog. Josephus, writing in the 1st century, already mentions iron gates that Alexander closed at a mountain pass. Some Muslim scholars prefer other candidates, such as Cyrus the Great.
The story has launched many searches. A 9th-century caliph sent an envoy, Sallam the Interpreter, to find the wall. Modern readers have proposed the Caspian Gates at Derbent, the Great Wall of China, and more exotic answers, including a buried structure holding back a people who will return. None of these has been confirmed, and the Quran gives no map.