Didier Drogba today warned Chelsea that the pain of losing the Champions League Final against Manchester United will be far worse than any of their semi-final defeats.

Drogba, who scored two superb goals against Liverpool to finally end their jinx of losing in the last four, has reminded his teammates they haven't won the trophy yet.

Chelsea have lost three semi-finals in the competition in the last four years, two of which were against Liverpool, and the final whistle last night prompted wild celebrations.

But Drogba said: "When you reach a final it's better to win it. I'd prefer to lose a semi-final and be upset for two or three days than lose a final. When you lose a final it stays with you for years. Now we have to win it.

"It would be really difficult to lose against Manchester United in the final, it would be hard to take against any team.

"The fact we beat them in the League on Saturday won't make a big difference. That just gave us a little bit of confidence because they are still the best team in England."

While Drogba is not taking victory over United for granted, he was able to celebrate one of his own over Liverpool manager Rafael Benitez. The Spaniard spent the days leading up to the semi-final, second leg questioning the striker's integrity and accused him of falling down too easily to win free-kicks. Drogba responded with a superb individual performance, capped by two goals, the first of which he celebrated by sliding on the pitch toward Benitez in the Liverpool dug-out.

He added: "Benitez is a fantastic coach and I was disappointed in what he said. But I think he felt his team weren't strong enough and Chelsea were going to beat them. I'm just happy for my team but I don't want to think about what people are saying.

"It's very personal what he said and this is not good for English football."

Chelsea could end the season with two trophies as they are also level with United in the Premier League, an achievement made all the more remarkable by the damage caused by Jose Mourinho's departure in September.

They secured their place in the first all-English final by beating Liverpool 3-2 - 4-3 on aggregate. It was a personal triumph for Grant who got his tactics just about right on a night of high-octane drama. Quite rightly, he singled out Frank Lampard for special praise. Playing for the first time since his mother Pat died, the midfielder scored the penalty that swung the tie in Chelsea's favour eight minutes into extra-time.

"He's a brave man," said Grant. "He was very close to his mother and what has happened has not been easy for him."

Lampard's energy and diligence in midfield was central to Chelsea's game plan. They contested every ball and every yard of space so that Liverpool were rarely able to establish any rhythm.

Fernando Torres scored a neat goal but, that apart, hardly got a kick and it was no real surprise when Benitez substituted him. In contrast, Drogba worked Chelsea's lone striker shift with dogged persistence and was rewarded with two goals which make him the club's top European scorer with 18 - the perfect answer to manager Benitez who suggested pre-match that Drogba was prone to fall over too easily.

But in this, the third semi-final, Chelsea emerged triumphant and well deserved their victory. Drogba's 33rd-minute goal set the tone and prompted a rethink by Benitez who sent his team out for the second half with a more attacking attitude.

This paid dividends on the hour when the crafty Yossi Benayoun caught the Chelsea defence square with a through ball that allowed Torres to briefly live up to his reputation, and score with a cool finish and take the match into extra-time.

Then, soon after Michael Essien had a goal disallowed for offside early in extra-time, Sami Hyypia brought down Michael Ballack and Lampard drove home the penalty with the kind of precision that would have comforted his dad high among the spectators.

Drogba added a third after 105 minutes, touching home a cross from substitute Nicolas Anelka. Mindful of their wonderful European pedigree, Liverpool made a desperate attempt to get back into the game and nearly succeeded. Substitute Ryan Babel outwitted Petr Cech with a wonderful 35-yard strike - but it was too little too late.

As Sir Alex Ferguson scurried away with his notes he knew that Grant and his team would test him tactically in Moscow. "It will be a great final," insisted Grant before flying to Israel for the Holocaust Memorial today. "I understand the criticism I had at the beginning but we have created history now and I'm very proud we did it my way."