Liverpool take on Manchester City in the semi-finals of the competition to decide who will face Cardiff City in the final.
"It would mean nothing to lead Liverpool out at Wembley, but to lift the Cup there would mean an awful lot – a dream come true," the England midfielder said.
"If I lead the club out at Wembley and we lose then I'll remember it in a bad way. To get to Wembley is the target, to win it is the dream."
Although the Carling Cup would be a dream for Gerrard, he admitted that the Premier League should be of paramount concern for Liverpool.
"The big objective for this club is the top four, so if you look at it that way the Bolton game was bigger than tonight against City," he admitted.
"But, as a player, I don't want to be saying I finished in the top four. I want to say I won the Carling Cup four or five times."
Cardiff Cty progressed to the final last night after a tense penalty shoot-out with Crystal Palace.