The Italian club are three points clear of Celtic but should the Parkhead men win, they would go through to the knockout stages by virtue of their head-to-head record.
Lennon said: “I’d much rather we were already through. It is a daunting proposition for any team to come here but in that respect, we know what we have to do.
“We are in good form, off the back of six wins in the league, and confidence is good.
“Each of the Europa games there has been a natural progression, it is a young team who are learning all the time and we will treat it like a cup final. It is a great incentive and one that we are all looking forward to.”
Defender Glenn Loovens did not travel with the team after sustaining a hamstring injury against Hearts on Saturday but Lennon is confident he has the strength in depth to cope with the loss of the Dutch defender.
The Irishman said: “Kelvin Wilson is fit and will be in contention, we also have options with Charlie Mulgrew and Victor Wanyama, so we are all right for cover.”
Udinese are in second place in Serie A, with only goal difference keeping them behind leaders Juventus.
Boss Francesco Guidolin is still undecided as to whether he will play veteran striker Antonio Di Natale, 34, who has scored 10 league goals in 13 games this season including one in the 2-1 win over Chievo at the weekend.
He said: “I have all my players available, it is going to be like a final and we will have to be prepared.”
Birmingham midfielder Chris Burke is hoping the Blues can continue to defy their critics by claiming their place in the knockout stages.
Chris Hughton’s side must first beat already-eliminated Maribor at St Andrew’s tonight and hope Braga beat Club Brugge in the evening’s other Group H match.
That would see Birmingham edge out the Belgian side due to a better head-to-head record.
Burke said: “I think some of our performances in Europe this season have been different class, and the way we’ve passed the ball about has shown how good we are.
“We want it to carry on and get through this group stage. I believe if we qualify then we can go far in this competition.”