
The Gunners overcame a stubborn Ipswich 3-0, having lost the first leg 1-0 a fortnight ago.
Next month's showdown with West Ham United or Birmingham City will be a first Wembley final since 1998 for the Gunners and the chance to end a six-season trophy drought, with the last piece of silverware being the FA Cup in 2005.
Wenger feels his squad should be confident of delivering in all competitions as they challenge for honours at home and in Europe - which continues against the Terriers in the FA Cup fourth round at Emirates Stadium on Sunday.
"We want to go for all the competitions," the Arsenal manager said.
"We have learned something from Leeds and Ipswich, and that is you have to be 100 per cent focused.
"We play Huddersfield on Sunday at the Emirates, so to be capable to focus on that game will be vital for us."
Wenger hopes victory in the Carling Cup final could provide his hungry squad with a springboard.
"I get the same question every time, so I say 'we try to win everything we can', but on the other hand it can more get the pressure of the team to deliver in the other competitions," he said.
"It is not the only target we have of the season, we have even bigger targets, but it can help us to achieve the other targets."
"We have a chance to deliver, but it will be down to delivering the needed performance on the day. That is part of mental strength as well."
For more than an hour, Ipswich defended resolutely to frustrate the Gunners.
However, Nicklas Bendtner finally ended their resistance with a fine individual goal before Laurent Koscielny headed in a second and Cesc Fabregas made sure of the trip to Wembley late on.
Wenger said: "The players were really up for it and focused. We needed to be patient, calm and mature - and you have to credit Ipswich as they defended with great spirit.
"It means a lot for the team and they deserve to be rewarded for a fantastic attitude."
Bigger Targets

"We want to go for all the competitions," the Arsenal manager said.
"We have learned something from Leeds and Ipswich, and that is you have to be 100 per cent focused.
"We play Huddersfield on Sunday at the Emirates, so to be capable to focus on that game will be vital for us."
Wenger hopes victory in the Carling Cup final could provide his hungry squad with a springboard.
"I get the same question every time, so I say 'we try to win everything we can', but on the other hand it can more get the pressure of the team to deliver in the other competitions," he said.
"It is not the only target we have of the season, we have even bigger targets, but it can help us to achieve the other targets."
Fantastic Attitude
The Arsenal manager added: "What I am convinced is we will go with the same heart for everything."We have a chance to deliver, but it will be down to delivering the needed performance on the day. That is part of mental strength as well."
For more than an hour, Ipswich defended resolutely to frustrate the Gunners.
However, Nicklas Bendtner finally ended their resistance with a fine individual goal before Laurent Koscielny headed in a second and Cesc Fabregas made sure of the trip to Wembley late on.
Wenger said: "The players were really up for it and focused. We needed to be patient, calm and mature - and you have to credit Ipswich as they defended with great spirit.
"It means a lot for the team and they deserve to be rewarded for a fantastic attitude."
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