Jimmy Nielsen is remembering his first game as a professional footballer, in Denmark. "As I left the field after my warm-up, the weather was beautiful," he says. "But when I came back out of the locker room, the whole field was covered in snow. I was like 'what the …?'"

The story, like so many others, is told with a grin. Nielsen, captain and goalkeeper for Sporting Kansas City, always comes across as a man in love with life – one for whom the glass is not so much half-full as positively overflowing. He played well in that first game, helping Aalborg to a 1-1 result against Ikast, but the most important fact about that day was that it represented (after a brief and false start with Millwall) the beginning of a career he adores.

One thing he is not so fond of, however, is the cold. He played in the snow many more times in his 12 seasons with Aalborg, not to mention the further two he spent with another Danish club, Vejle. But never, in Nielsen's estimation, did the temperature dip so low as it would during Sporting Kansas City's most recent game, the second leg of their Major League Soccer Eastern Conference final against Houston.

"That was ridiculously cold," says the keeper. "They had watered the field before the game, and by kickoff there was just ice all over it, crunching under foot. And we have a heating system under the grass at Sporting Park, but it couldn't catch up. I don't want to cry and whine about it, but it was tough to focus."

The thermometer showed 22F (-5.5C) before kickoff, but the mercury dipped even further over the course of the evening, into the teens. It was the coldest game played in Major League Soccer since organisers started recording temperatures, in 2003. While outfield players could at least stay warm by keeping moving, Nielsen and his opposite number, Tally Hall, did not have that option.

"You've got to do something. Run a little bit back and forward, stay as warm as possible," he says. "But it was impossible. I couldn't get the warm back in my hands, because your gloves have to be wet during a game so that they have that sticky connection with the ball. You keep trying to rub them together, to warm up your gloves, but it was like having little packs of ice on your hands. And when you got the ball you couldn't control your grip, because you couldn't feel it."

Nothing, though, will warm you up quite like a victory over great rivals. Houston had become Kansas City's bogey team in recent years, eliminating them from the playoffs in 2011 and 2012, despite posting a worse regular-season record on each occasion. The Dynamo finished fourth in the Eastern Conference this year, but upset Supporters' Shield winners New York to set up yet another clash with No2 seeds Kansas City. When Nielsen and his team-mates learned that their path to an MLS Cup final would once again go through Houston, all they could do was laugh.

We said, 'Of course. Of course they won.' Nobody was surprised. This is what happens every time.

Rather than feeling daunted, Sporting saw this as an opportunity. As Nielsen tells it, last season's defeat by Houston functioned as a motivational tool, fuelling the players' desire to come back and go one better this year. It also served as a wake-up call, demonstrating that they needed to refine their approach.

"When we came to Houston last year, we only had one style of playing," Nielsen says, referencing the first leg of last year's conference semi-final. "We just came at them like a train. They were smart, and if you play against smart teams they can knock the ball around you a little bit and create chances, waiting for the right opportunities. That's what they did. I still believe we were the better team, but they were a lot smarter than us."

Houston won 2-0, and Sporting KC could only make up half of the deficit at home, losing 2-1 on aggregate. A year earlier they had fallen 2-0 to the Dynamo in the conference final (then a one-off game), dominating the play but falling to a pair of devastating counter-attacks.

Travelling to Houston for the first leg this year, Kansas City resolved to try a different approach. Instead of taking the game to their opponents, they would focus on retaining possession and avoiding unnecessary risks. That way they could put themselves in position to win the match-up back on their own turf.

"This time we added our brains," says Nielsen, "That's a credit to the coaching staff, too. In the past we were known for being a very physical team and when we came out on the field, we were just relying on our set-pieces and strength. This year, in the preseason, I think we added some good stuff to our style, with our possession. We can keep the ball now. Before, when the ball came out to Chance Myers, it was like, 'All right, now we are going [to launch an attack].' When it came out to Seth [Sinovic], 'All right, now we are going.'

Now there's a little Spanish, Italian, South American style added to our game. And that gives the team a lot of confidence.

Nielsen singles out his team-mate Oriol Rosell. The 21-year-old midfielder, who grew up in Barcelona's academy and played a handful of games for the Catalans' B team before moving to Kansas City in 2012, has become a fixture of manager Peter Vermes's starting XI, helping to fill the void left by Roger Espinoza's January transfer to Wigan.

"Uri [Rosell] has been outstanding the whole year," says Nielsen. "He's 21 years old and he's playing like a guy who's 31 or 32. He's a very, very smart player. He grew up a little different to everyone else here in America when it comes to soccer – through some of the best academies in the whole world. He's got a good soccer brain and a good soccer mentality."



Crucially, Rosell has been able to interpret his coaches' new vision for the game. Learning the game in Barcelona's La Masia academy, he was taught to prize possession, using it to dictate the tempo of a match. Sporting KC did that expertly in Houston this time around, limiting their opponents to very few goalscoring opportunities in a 0-0 draw. They went on to win the second leg 2-1, although their progress was not entirely serene. Houston scored first in Kansas City, taking the lead through Oscar Boniek Garcia in just the third minute, before the hosts responded through CJ Sapong and Dom Dwyer.

Nielsen admits to a moment of doubt. "For a split second that thought went through your head: 'Not again.' But the team stayed calm. No panic. No frustration. A few minutes later Dom Dwyer had a huge chance to equalise. Right after that, I saw the confidence in the team again, and you had that feeling on the field like, 'We will definitely score.'

"And what I think was really good was that after we took the lead, we didn't drop back. We've been very good this season at … in Denmark you would say 'smelling the moment'. We don't just drop back because we are up 2-1. Doing that, you give the game to Houston. We kept going and going and going, because that was how the game developed."

Next up are Real Salt Lake in the final, at Sporting Park on Saturday 7 December. Long-range weather forecasts have predicted snow for the day before the game, but that is not the only reason Nielsen would have preferred to play a week earlier. Having endured a two-week break between the two legs of the conference final, being made to wait another fortnight seems a little much.

"The Houston game took a lot of mental energy out of you, going those two weeks," says Nielsen. "You played the [second] game probably five, six, seven, eight, 10 times in your head. This time I had to tell myself, 'I'm going to wait to prepare myself until the week leading up to the game.' I don't want to walk around and play the game over and over in my head, and then be mentally tired by the time we actually play."

The truth is, though, that Nielsen has been dreaming about this final for a very long time. Although he lifted the US Open Cup with Kansas City last year, he has still won only one league title in his 18-year career – with Aalborg in 1999. As special as it was to do that with his hometown club, he says that MLS Cup would mean even more.

"When I won my first championship, I was 21 years old," he says. "I thought that would be one out of many.

Fifteen years later, I still only have that one damn championship. So I think I would appreciate and enjoy this championship a little bit more. I know how hard it is to win a championship now!

But the prospect of victory also raises a difficult question for Nielsen. At 36 he knows his career cannot go on forever. His contract is up at the end of this year. If Sporting KC were to win on Saturday, might the moment be right for him to bow out on top?

"Ohhhhh. Goddammit," he groans. "Well, if I have to answer you today, I would say that I probably will continue after this season no matter what. That's my answer today, and that's my feeling. I don't want to quit too early. But you also don't want to quit too late. Right now I still feel that hunger to continue, but I don't know how I would feel after a championship.

"If we win, then the first thing I'm going to do is go on a little vacation with my family. Then I will follow my gut feeling after that."

Certainly it seems unlikely that anybody is about to push Nielsen out the door. He was MLS goalkeeper of the year in 2012 and was shortlisted again this year – although he argued that it should go to Portland's Donovan Ricketts, as it did. What is certain is that Kansas City will be the last stop in Nielsen's playing career. During interviews for his recent autobiography, Welcome to the Blue Heaven, he told me many times that he and his family had been blown away by the reception they were given in the Midwest. Nielsen could not even place Kansas City on a map when the team first contacted him, in 2010, but now that he has found it he would be quite happy to never leave.

He spoke in the book about some much darker times in his life, too, and specifically about the gambling addiction that forced him to the brink of bankruptcy. By the time matters came to a head, in 2004, Nielsen had not only blown all of his family's life savings but also built up more than a quarter of a million dollars in debt. To keep the dream alive, he committed many acts of which he now feels ashamed. During one infamous trip to Las Vegas, his wife, Jannie, became so desperate about his behaviour that she locked herself in a toilet to stop him from asking for more money to gamble with. He stood outside for some time, begging her to slip her credit card underneath the door.

Nielsen says the response to the book has been overwhelmingly positive in Kansas City. "People have come to me and it seems like a lot of families have some kind of family member who has been addicted to drugs or alcohol, gambling," he says. "And I have spoken to a lot of people, where they have bought the book and given it to their son, or their uncle, or whoever had that problem, and they're just happy that I got over it."

Not that he ever expected the response to be any different. "I can't speak for the whole country, but I can say that in Kansas City people always seem to be positive and optimistic," he says. "They allow themselves to be happy for other people. Which is not a given thing. A lot of places, it's the case that you can't be happy for other people. In Denmark it was a little bit the opposite [of what it is here]."

Nielsen says everyone in Kansas City football, from fans to players, 'deserves a shot at this final'. Photograph: Graham Hughes/AP



It is another reason why Nielsen wants to win on Saturday, to give something back to a place that has shown him such affection. Aside from last year's Open Cup, Kansas City's major league sports teams have not won a trophy of any kind since Sporting – then known as the Wizards – last won MLS Cup, all the way back in 2000.

"They deserve a shot at this final," says Nielsen. "I'm not only talking about the team. Everything about soccer in Kansas City, they deserve to be a part of this, because soccer is big in Kansas City now.

Compared to how it was when I first came here, it's two different worlds. I think it's 41 or 42 games in a row now that we have sold out. That's awesome. That tells you everything about our fanbase here in Kansas City. They are loyal, they are 100% behind us. It would be awesome to bring home a trophy to share with them.

Nielsen has been around long enough to know that the team's window of opportunity may not stay open for long. Inevitably, players will move on and circumstances will change. Although Major League Soccer's stature is improving, many of his American team-mates still dream of one day testing themselves in Europe.

"It has changed a little bit since the [global] financial crisis, though," he says. "After all the struggles, a lot of Danish players are looking to come to America, while at the same time a lot of American players are coming to me and saying, 'Hey, what about the opportunities in Denmark?' People always say that the grass is greener on the other side, and there's something to that."

Nielsen thinks the grass is green enough right where he is. Even if it does get a little frosty at this time of year.

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