The Shrimpers boss has won silverware at the national stadium on two occasions in the past, winning the trophy as a player with Bolton back in 1989 and a Championship play-off final as Hull boss in 2008.
And Brown's message to his current charges is that they must have belief that they can upset the odds and beat League One side Crewe in the final.
"When I was with Bolton in the final we went 1-0 down and it was all about having belief that day," he told Southend's official website. "We came from behind to win and once we equalised we had the confidence in us to go on and win the game.
"The players must have the belief that they can win the game on Sunday. There's no doubt in my mind that that's exactly what they can do.
"They need to make sure they play well and perform because that's the most important thing. If they do that, then the result will hopefully follow for us.
"We are the underdogs, that's for sure. I went and watched Crewe a week or so ago and they are a good side, who play some very good football.
"We will have the crowd behind us, to have 30,000 of them travelling with us is going to be absolutely fantastic.
"They alone will give the players confidence and belief and hopefully they can strive off of that support."