He said: "He speaks great English and we fully understood our jobs. We can only get stronger and that is the important thing, so it was nice to get a win at Wembley after the last game against Croatia. It is something to build on and there were some good performances.
"We have worked really hard. Any new manager who comes in wants to get their ideas across and we are trying to get the right way of playing."
Capello has revealed he will only pick players who are in good form.
Striker Michael Owen was snubbed for last night's match and Cole insists he will have to continue to work hard to keep his spot.
He added: "I am happy with my form at the moment and am still looking to improve. It was nice to be given the nod in the first game. I want to keep performing well for Chelsea and be there again against France."