The Gulf Daily News reports,

Sources close to pop superstar Michael Jackson denied rumours that he was planning to donate money for the building of a mosque in Bahrain.
The reports, which appeared in newspapers and websites around the world, quoted ‘spokesmen’ claiming the mosque was being built as a gesture towards the people of Bahrain.
The sources told the GDN that people who were quoted were former spokesmen who may have an agenda against Mr Jackson.

Ynet has reported that Jackson plans to convert to Islam upon his arrival in Bahrain, though it’s possible that this information was obtained from the same dubious sources. Then again, Ynet also reports that Jermaine Jackson converted to Islam and currently lives in Dubai, so I guess anything’s possible.