Pellegrini's side are firm favourites to secure a place in the Capital One Cup final as they host struggling West Ham in the first leg of their last-four tie on Wednesday night.
Victory in the competition would get Pellegrini off to a fine start having been charged with the task of winning five trophies in as many seasons when appointed last summer.
This season offers many opportunities with City also well placed in the Barclays Premier League and still in both the Champions League and FA Cup, but Pellegrini refuses to look too far ahead.
He said: "I think it is important for the club, for the team, for everyone, to play a semi-final against West Ham and try to win.
"After we beat West Ham we can talk about the final at Wembley, but we have two steps more to beat West Ham here and then in London.
"I repeat, after we finish the semi-final, we can talk about the trophy."
With a formidable home record behind them and some outstanding goalscoring form, City are capable of putting the game beyond the beleaguered Hammers in the first leg.
But Pellegrini, whose side have scored 86 goals this season, said: "We are not thinking about that. We are thinking first to win.
"We have the second leg to play and in football it is never finished.
"We are thinking about winning the two games. We must win here and then see what we can do away."
Pellegrini has given no indication which goalkeeper will start.
Costel Pantilimon, who is now once again second choice to Joe Hart, returned for last weekend's FA Cup draw at Blackburn but was at fault for Rovers' equaliser.
Pellegrini says that error will not affect his decision.
He said: "I analysed the performance with the players and we will see which goalkeeper will start.
"I don't know exactly how many changes but we will make some."
Pantilimon had a run in the side which included seven Premier League games before Hart was restored just before Christmas.
Pellegrini claims many factors influence his selection.
He said: "I don't think that because one player makes a mistake he must lose his place.
"I have a lot of different things for why I take the decision which one will play."