...you need to click on the "?" button a second time (i.e. after clicking once to get the "take & hold" targets) to have the Advisor tell you about the raid targets. As Gnaeus says, it's pretty much just Western Africa (rather, NW Africa!), three provinces around Mauretania.

Also, remember that you don't have to relinquish your hold on a province in order to satisfy the "raid" requirement; "raid" meaning: as long as you've held it for at least one turn, possession doesn't matter at the end of the game (when you've satisfied all other remaining conquest requirements).