Anelka, who made his first Chelsea start on Saturday at Birmingham, scored in the 1998 FA Cup final for Arsenal, and followed that up with a brace for France in an international friendly in early 1999.
He is yet to play at the new Wembley, and knows we face a stiff test at Goodison Park if we are to progress.
"I have very good memories of Wembley, victories as well, so it's good," the forward told Chelsea’s website. "But we have to get a good result there first and then after we can speak about Wembley."
Everton, along with Blackburn, are the side Anelka has scored the most goals against in his career, scoring seven times in 14 appearances against the Toffees. Past successes won't allow anything but focus though, and he knows what to expect as we head for the first of two games in the north-west in four days.
"It will be a hard game, because Everton are a strong team, and they have to win," he explained. "They will be pushed by the crowd so it will be hard, harder because we are fighting for a place in the final."
If Chelsea do reach Wembley, there will be few hungrier for silverware than Anelka, eager to taste success as early as possible now he is back at what he calls a big club.
"Of course, it is always nice to win trophies. Now I'm with a new club and if we can start with a trophy in my first couple of months it is even better."
"I didn't play because the manager wanted me to rest, so I'm lucky, it's good," he smiled.