Carlo Ancelotti's men came through a penalty shoot-out in which both Ryan Giggs and Patrice Evra saw weak efforts saved by Blues goalkeeper Petr Cech.

Nani had fired United in front after 10 minutes at Wembley with a 25-yard drive, before second-half goals from Ricardo Carvalho and Lampard put Chelsea in the driving seat.

Wayne Rooney then levelled in stoppage time to take the contest into penalties, but Cech was the hero for Chelsea, who won their first bit of silverware under Ancelotti.

"This is sweet. It feels nice to make a winning start to the season," Lampard told Sky Sports 2.

"After that last goal we could have been on a downer but we didn't let out heads drop."

Carvalho added: "The win means a lot. It's important to win trophies and start with a win. But now we have to look to the Premier League and start winning there as it's important to get a lead.

"It wasn't a good start but after that we controlled the game and I thought we deserved to win. We conceded in the last minute but came back and won on penalties."

Lampard's 70th-minute strike which put Chelsea in front proved controversial.

Michael Ballack appeared to elbow Evra, but with the United player down, referee Chris Foy allowed play to continue and eventually England midfielder Lampard's shot beat Ben Foster.

The United players were furious but Lampard believes it was within the rules of the game.

"Anyone should look at the rules," he said. "It's up to the referee to stop it but Man United just stopped when their man was down.

"It's in the rules, when the referee stops it he stops it. We carried on and I'm sure United would have down the same in that position."

United boss Sir Alex Ferguson was unhappy with referee Foy's part in the goal, however.

"The referee saw the foul," he said. "He (Ballack) clearly elbowed him in the face.

"I'm disappointed because the ref stopped the game twice before that for fouls, when Ballack was lying on his back.

"That incident cost us the game. There's no question it's a grey area."

Ferguson was generally happy with his team's performance throughout the match, though.

"Our commitment was there," he said.

"The equaliser was a poor goal, we should have defended better. As I said, the second goal shouldn't have been allowed but once they got the goal I thought they were in control so it was good to equalise."