Chelsea are chasing a quadruple of trophies this season, having already won the Carling Cup earlier in the season.
They're second in the Premiership and are in the semi-finals of both the FA Cup and the Champions League.
So will be a season of glory for the Blues from Stamford Bridge. Sportsround stopped Joe Cole for a chat about the closing weeks of the season.
Joe, you're one game from playing at Wembley. Are the players excited about that?
Yeah we are, but I think at the moment every game we're playing is like a cup final for us, especially this last month. So you just focus on every game and now our attention is on the semi-final.
Your mind does wander a little bit. If we win we're in the final and it'll be a great occasion, but we've got to beat Blackburn and they're a top side. They're a Uefa Cup side with internationals all over the park and it'll be a tough game.
The FA Cup is the only English cup the manager Jose Mourinho hasn't won. Is there extra pressure to win it?
We want to win the FA Cup. I'm sure the manager wants to win it as much as the players, particularly the English lads. We're always telling the foreign lads that it is important for the fans. We want to win it desperately, but we have to get past Blackburn first.
If you had to choose one, of the FA Cup, Premiership or Champions League, could you pick one?
You can't really. We'll take what we can get. We want to win all of them, the same as Manchester United want to win all of them. We'll try to win every game and see where that leaves us on the 23 May.
You've played Blackburn three times this season and have won all three games. Does that make you more confident?
It does and it doesn't. Blackburn are a top side and what happens in the past doesn't matter. They've had a full week to prepare for the game and their season is all about this game. That makes a team dangerous when they've got it all to lose, but we want to beat them and we've got a great chance.
It's been a frustrating season for you. Will playing at Wembley be the perfect end?
That was the thing that was keeping me going, wanting to play in these big cup finals. Every day when I was coming in to fight for my place and spending long months in the gym this is what keeps me going, these big games and the chance to play at Wembley.