The Messenger of Allah (may Allah's peace and blessings be upon him) led us in the prayer …

The Prophet (may Allah's peace and blessings be upon him) led his Companions in the prayer of fear in some of his wars with the unbelievers. In those wars, the Muslims feared that the enemies, who were not stationed in the direction of the prayer, would attack them while they were praying.

So the Prophet (may Allah's peace and blessings be upon him) divided the Companions into two groups: one stood with him to pray, and the other faced the enemy to guard those praying. The Prophet led the troops standing with him in one Rak‘ah. This group left, while in a state of prayer, to the defense line. Then the troops that had not yet prayed joined the Prophet in the other Rak‘ah. As the Prophet (may Allah's peace and blessings be upon him) ended his prayer, the group that had just prayed with him resumed the prayer so as to make up for the Rak‘ah which they missed. They finished their prayer and left. Then the first group performed the Rak‘ah which they missed while they were on guard.

This is one of the ways the prayer of fear was done. Ibn ‘Abbās said: "Everyone was praying but guarding each other." [Al-Bukhāri]