Liverpool's Carling Cup victory over Cardiff on penalties came 500 days after Henry and his Fenway Sports Group took over the club with a £300 million buy-out to oust former owners Tom Hicks and George Gillett.
Henry is aware of how significant ending a six-year trophy drought can be even if he admits he is still getting to grips with the game in England.
"It's about silverware, right, so it will help us build on every level and it's what our players and our fans expect," Henry said.
"We are just so happy for the supporters, they have been through so much, so many things off the field.
"They are used to a certain kind of excellence; to see that start to emerge again [is great].
"We've still got a long way to go so I'm hesitant to say success has come quickly or it hasn't - it's been a year. We have so much to learn about all aspects of this sport and we are still learning.
"This is a great first step in what we are trying to accomplish in moving in the direction that we hope we would move.
"We need to win the FA Cup. We just need to beat Stoke (in the quarter-finals) and we would be extremely happy to do that."
Henry's business partner and Liverpool chairman Tom Werner endured a tense afternoon and found himself covering his eyes at the climax of the shootout.
He paid tribute to manager Kenny Dalglish, but stressed there were still other targets to reach this season.
"It was a nerve-wracking afternoon with a wonderful result - I couldn't watch the final couple of shots," the American said.
"There was a lot of pressure on Kenny and we are relieved for him because I think the expectations were so high.
"It was a just wonderful day for him and we gave him a big hug because he really deserves the credit.
"I think that now we can move on. We have a match next weekend against Arsenal and our goal is still to make the Champions League, but this has been a big day for us.
"It is only one marker but to see the joy on the faces of our players, I think it is going to give them a lot of enthusiasm for the rest of the season to move forward.
"It is a privilege to be involved with Liverpool. This is the eighth League Cup Liverpool has won and we are still hungry for more."