The Swans face the Bantams at Wembley today in the Capital One Cup final.
Michu said: "I only really heard of them when they beat Wigan and got in the quarter-finals.
"I arrived in the UK with a dream to play in one final and to go into Europe so I hope we can do it on Sunday.
"It was not easy for us to reach the final. We had to beat Liverpool away, we needed to beat Chelsea in two legs. OK, now we are favourites because Bradford are not in the Premier League but if we can do it will have been a really good year for us."