Thats one of the features PES has too, its called the Master League, and you take a lowly club to the top. They are bringing in for this game an additional game called 'Be a Legend' where you only control one player.
Well I bought Fifa 09 and my initial reaction is that it sux. the gameplay is inconsistent of how players move and receive the ball.......pass the ball to a team mate and it bounces of him for the equivelant of 5 yards whilst he runs in another direction to which you have your pad pointed. so far very disappointed