Milan have had a disappointing start to their Serie A campaign, suffering home defeats to newly-promoted Sampdoria and Atalanta to leave them 10th in the table, already six points adrift of defending champions Juventus.
Milan's worst home start to a season for 82 years has forced vice-president Adriano Galliani to dismiss suggestions Allegri's job could be under threat.
Allegri will be fully aware of the high expectations at the San Siro but his cause has not been helped by injuries to the likes of Robinho, Alexandre Pato and Riccardo Montolivo.
But midfielder Montolivo is back in contention for the Champiosn League Group C opener after taking a full part in training on Sunday, and Allegri has told his players they must raise themselves for the start of their European campaign.
"Let's not be victims here, now the important thing is to win the first Champions League match," he told a press conference.
"Winning is the only thing that counts in football and we haven't started well this season although we do have one more point than this time last season.
"Against Sampdoria and Atalanta we created chances up front and were punished at the back on their first chance. We have to do more, starting from tomorrow.
"The Champions League is tougher and we face a side that has plenty of European tradition. We have to be patient because sooner or later we will create chances.
"I am very hopeful because I think the team are ready to face an important game like the one against Anderlecht. We have to stay alert and facused because we will have to work hard to win the game."
He added: "I spoke to president (Silvio) Berlusconi and he was calm about the situation and is close to the team. I have a great relationship with Galliani, although the newspapers say otherwise."
Anderlecht have never won on Italian soil in 15 previous attempts, and while they will be hopeful of springing an upset they will be without the injured Matias Suarez, while Milan Jovanovic is suspended.