Not long after his schemes led to the deaths of more than 160 people in Mumbai in 2008, David Headley had a dream.

It was early 2009 and he envisioned the Prophet Mohammed's tomb, with his own final resting place "not next to the prophet's grave itself, but a little distance away."

Mr. Headley, now 50, concluded that his vision meant great heavenly rewards awaited him – if he were successful in a new attack. The plan?

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