Manchester United goalkeeper Edwin Van der Sar saves the penalty attempt from Ncolas Anelka to win the final.
Anderson and Ryan Giggs netted for United and, although Salomon Kalou was on target for Chelsea, Van der Sar blocked Anelka's effort to secure the giant silver trophy once again.
Manchester United manager Alex Ferguson revealed it was the first major penalty shootout he had won.
"It's the first in a big game," said Ferguson, who adds a second Champions League crown to the 10th league title of his United reign he clinched last week.
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