The DNA microarray biotechnology simultaneously monitors the expression of thousands of genes and aims to identify genes that are differently expressed under different conditions. From the statistical point of view, it can be restated as identify genes strongly associated with the response or covariant of interest. The Gene Set Enrichment Analysis (GSEA) method is one method which focuses the analysis at the functional related gene sets level instead of single genes. It helps biologists to interpret the DNA microarray data by their previous biological knowledge of the genes in a gene set. GSEA has been shown to efficiently identify gene sets containing known disease-related genes in the real experiments. Here we want to evaluate the statistical power of this method by simulation studies. The results show that the the power of GSEA is good enough to identify the gene sets highly associated with the response or covariant of interest.