Original: It opened in 2007 and was built on the site of the previous 1923 Wembley Stadium. The earlier Wembley stadium, originally called the Empire Stadium, was often referred to as "The Twin Towers" and was one of the world's most famous football stadiums until its demolition in 2003.
Simplified: It was built from 2003 to 2007 in the same spot that the first Wembley Stadium was built.