Leicester return to Twickenham eight days after completing the league and cup double with an emphatic victory over Gloucester in the Guinness Premiership grand final.
No captain has ever led their club to all three titles but Corry refuses to contemplate the hand of history which rests on his shoulder.
Corry said: "Sunday has nothing to do with making history. To win the European Cup alone would mean a huge amount.
"This is probably the biggest challenge of the lot - Wasps at Twickenham in the European Cup final.
"We will not get wrapped up in thinking about trophies or winning trebles. That is all for the end of the season.
"We just want to do whatever it takes to beat Wasps."
The two clubs have dominated English rugby in the professional era, with Leicester winning the Heineken Cup in 2001 and 2002 and Wasps taking it in 2004.
Leicester finally ended their five-year wait for a trophy by lifting the EDF Energy Cup in the early spring and Corry is determined the club can regain their position at the summit of European rugby.
"We always want to get back to that time when we were dominant in the league and dominant in Europe," said Corry.
"So much has changed since then. You talk about the success we had around about the 2000 mark, who is still here? Probably me, Lewis Moody and Geordan Murphy.
"There has been a lot of new talent coming in and Pat Howard has been phenomenal for us as a player, a coach, a director of rugby, a mate - in every one of those boxes he has been first class.
"That is where we want to get back to."
Sunday's clash will be the first all-English Heineken Cup final and, while the game is blighted by arguments between the RFU and clubs, Corry believes it shows the strength of the Premiership.
"It is a great testament to the Guinness Premiership and what is happening in the English game that the team finishing fifth (Wasps) can make the Heineken Cup final," he said.