It didn't take her long to find one that might be even more daunting than competing on the PGA Tour.
Sorenstam tees off Thursday trying to make history of a different kind at the Kraft Nabisco Championship, where her goal of winning the four LPGA Tour major championships will be tested in her second tournament of the season.
It's never been done before, though Sorenstam came close last year, when she won two majors. Even to set it as a goal would seem laughable for anyone other than the most dominant female player of her time.
But Sorenstam is used to doing things that aren't done much - like shooting 59 or playing on the PGA Tour.
'I know nobody else has done it so it's a very lofty goal, but, if you believe it in your mind, I believe I can do it,' Sorenstam said. 'I love challenges, and this is something that really keeps me motivated, something that makes me want to work harder.'
Sorenstam won't have long to find out if her latest goal is doable. If she's not taking the traditional winner's plunge into the pond by the 18th green Sunday afternoon, it will be time to look for new challenges for the year.
For now, though, the mission at Mission Hills Country Club is simple - win the first major championship of the year for the third time in the last four years.
Without the first one, there will be no Grand Slam.
'It would obviously be great to do it,' she said. 'I've achieved a lot in my career and I'm very proud of that, and now I'm looking ahead and looking for the next thing to do.'
Sorenstam couldn't be in a better position to begin her quest in a tournament she's won twice on a course with tight fairways and thick rough that is made for her long and accurate shots. She opened the season with a victory in Australia, and won her first LPGA Tour event of 2004 last week in Phoenix.
That was her 49th LPGA Tour win in a little more than 10 years, and she's at a rare time in a player's career where winning major championships and making history is more important than the week-to-week grind of the tour.
'People say you're putting a lot of pressure on yourself,' Sorenstam said. 'I don't feel it this way, it's just me knowing what I want to do. This is what I'm like. Some people want to share their goals, some don't.'
The goal is hardly unreachable, though the pressure will build with every victory. Sorenstam was only a few mistakes away from winning all four major titles last year, when she had a lot more on her mind than winning on the LPGA Tour.
Two bad swings on the back nine helped Patricia Meunier-Lebouc win the Nabisco, while a wayward shot on the final regulation hole at the U.S. Open prevented Sorenstam from winning a tournament she seemed to have under control.
Sorenstam won the other two majors, the LPGA Championship and the Women's British Open to claim a career Grand Slam.
'She's incredible. She doesn't make many mistakes out there,' said Lorena Ochoa, who tied for third last year. 'I admire her very much. The only thing we can do, players right now, is learn from her, respect her and try to follow what she's doing.'
Sorenstam, whose inability to consistently win majors early in her career was the only criticism against her, said her experience playing against the men at Colonial should only help her in the final holes of major championships.
She can't imagine any more pressure than she felt in May when she teed it up on the first hole at Colonial.
'Playing with the guys obviously helps, it's made me tougher,' Sorenstam said. 'When you play under pressure like the Colonial, being under the microscope, it doesn't get any harder than that. I feel more comfortable being there and performing under pressure.'
That can't be good news to the rest of the field in the desert - a group that includes 14-year-old Michelle Wie.
Despite her age, Wie is now more than a novelty on the women's tour. She got in the final group on Sunday last year after a third round 66, only to fade to ninth place.
Still, that wasn't bad for a teen who seemed just as concerned about getting her braces off than winning a golf tournament. Wie is now in high school, and will be playing in her second LPGA tournament of the year after a top 20 finish last week in Phoenix.
'Last year was really fun and special to me, but my goal this year is to play better and hopefully jump in the lake,' Wie said.
One thing for sure is there will be a new champion this week. Meunier-Lebouc had a baby in February and is not ready to play competitive golf again just yet.
Meunier-Lebouc was at the course Wednesday to accept a painting in recognition of her win. Her husband stood by proudly holding their baby while she talked to the media.
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