Mexes controlled a pass on the edge of the penalty area against Anderlecht last night before striking a wonderful overhead kick into the back of the net.
It put Milan 2-1 up, as the Italian side progressed to the last 16 of the competition.
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The reputation of the Premier League means it is the most popular and one of the most watched leagues in the world.
Five English clubs will compete in the last sixteen of the Champions League for the first time ever as Liverpool, Manchester United, Manchester City, Chelsea and Tottenham face some difficult away matches.