The Brussels team, who drew 1-1 in the San Siro in the corresponding fixture, lie third in Group C and know a win against the Serie A side would guarantee them at least a place in the Europa League
A 1-0 win over KV Kortrijk on Sunday saw Anderlecht go four points clear at the top of the Jupiler League but Proto is adamant his team-mates need to remain focused on the Champions League tie and forget about their league exploits for the time being.
Proto told the Anderlecht's website: "It is not easy because Milan are not the same team as we played against in the San Siro.
"In Milan we played a very strong game. We fought like lions for that point and with a bit more luck we could even have returned to Brussels with three points."
Proto hopes Anderlecht can get a win against Milan which would keep their European journey on track but has warned against underestimating their opponents.
He said: "Everyone dreams of a victory because then over the winter we are in Europe anyway, but we should not underestimate the opponent and be realistic.
"Milan are not the same team as we played against at the San Siro. The team have more confidence and mentally they are a lot stronger. But it's a football match and it's all possible. We must do everything to get a good result."
Proto has been encouraged by his side's performances in the competition so far and hopes the Belgian champions can do well in their remaining two fixtures, starting against Milan.
"We did not know what the Champions League would bring. At home against Malaga we were not in the game, and the Spaniards monopolised the ball, but in all other matches we were certainly as good as our opponent. Now we have the next two matches to continue that momentum."
Milan, who drew 2-2 with Napoli at the weekend to lie 12th in Serie A, could be without midfielder Massimo Ambrosini who has been receiving treatment on a right adductor muscle.
Defenders Daniele Bonera, Ignazio Abate, Luca Antonini and Djamel Mesbah and midfielder Sulley Muntari are all receiving treatment for injuries and not expected to face Anderlecht.