Alexander founded a city (called Nicaea) near the site of his victory over Porus at the Hydaspes, but the exact site is unkown. This would be the Punjab region. His army only marched slightly further east before mutinying at the Hyphasis, now the Beas river. In the interim he destroyed the city of Sagala between the rivers, but it was rebuilt as a Hellenistic center, so we should probably count that as conquest.

Here is a map to help.

He managed to reach as far as central Asia and Pakistan (specifically the Indus Valley).