The Scot - who has only won one trophy in his 15-year managerial career - the League One title at Preston - insists that United will be looking to win everything next term.
"You have to do well in all competitions - not just the Premier League," he told The Sun.
"When you are at Manchester United my thinking is you have to go for everything, you attempt to win everything.
"Maybe you miss out sometimes, but you have to try to win all the trophies.
"I've done it everywhere else I've been and I'll certainly do it here because I have a bigger squad, quality players and a club with the tradition of being used to winning things."
The former Everton boss officially began work as Sir Alex Ferguson's successor on July 1st, and he will get his first chance to win silverware as United tackle Wigan in the Community Shield on August 11th.