Milan has one of the trickiest squad you can play against. That doesn't mean they are unbeatable, many teams proved they are, with PSV being the latest.
Its all about on how to find their key. Surely PSV did find it, we should give them a call

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The tricky part of the match is that we have to be very solid in addition of being very presice infront of the goal. Wasting a chance might cost us the game, and same goes to losing concetration at the back. I don't think that we can tolerate openning the game infront of Milan. Not becasue they are a better team. Its all about tactics. Besides, remember this is San Sero we are playing at.
Our DM will have to work overtime to make sure Kaka/Rui Costa have been nutralized. Fabio and Lilian will have to find a way together to keep the ball away from Sheva and Crespo, those two, especially Sheva, can really score from half a chance.
Nedved MUST play as a free role OM. This way our attacking force is much more presice and dangerous.
Zambrotta must make sure of Cafu isn't running free, plus Camorensi should be able to keep their Left back/wing from attacking alot by pushing forward abit.
Del Piero and Trezeguet (if those are the chosen two) must have their eyes on each other well.
Del Piero should stay up late practicing free kicks..
Buffon has to save any unwanted long range efforts from Milan. PLUS correcting situations if needed (lets hope that he doesn't need to do so).
If I were a coach I would concetrate on those things.