Wenger also backed his under-fire goalkeeper Jens Lehmann to come good at Old Trafford on Sunday, where Arsenal will bid to clock up a 50th consecutive league game without defeat.
"The enemy in football is a lack of confidence and what the run gives you is belief," he told reporters.
"You just go on the pitch and try to win because you're not bothered too much about any negative history you might have had. You know you can win because you have the experience of winning.
"The worst thing in football is a lack of belief. Contrary to what people might think, we never feel that we'll never lose. We just feel that if we put in what is needed in the game we can win, but that if we don't put that in we will lose."
Wenger is anxious to avoid any big-match nerves that might disrupt the fluid, attacking football that has taken his side 11 points clear of United at the top of the Premier League.
Given the stakes and a vast television audience, Wenger believes Arsenal will need winding down rather than firing up.
"The most important thing for us is having a relaxed approach to the game," said the Frenchman.
"Do you think you have to motivate players when you have a game like this? Who wants to look ridiculous in front of who knows how many millions of people?
"The biggest difficulty you have in this job is not to get players motivated it's to get them relaxed enough to express their talent."
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Four Arsenal players were banned after this fixture last season ended with a 0-0 draw and ugly scenes that brought a welter of criticism for the north London club.
NO SILLINESS
"There's a big responsibility on both managers to keep the game fair because I like to think every manager loves football first and if you love football you make sure it will be a football game.
"Without the desire to win, I don't know what we're doing in the job...but you want the game to be respected. You cannot incite people to do silly things."
Wenger is counting on an improvement from Lehmann, who has apologised in the wake of Wednesday's 2-2 Champions League draw at Panathinaikos in which Arsenal twice surrendered the lead.
Lehmann was taken to task by the British media after rashly sprinting out of his area to concede the first goal and then being caught flat-footed by the second.
"I think he will accept the criticism," Wenger said. "You cannot say that on the goals he played fantastically well, especially the first one.
"But it's part of being a goalkeeper -- when he makes a mistake he gets criticised. That's why only the strong goalkeepers survive...He's disappointed and he has said sorry."
Defending the German, Wenger added: "He has played in 47 of the 49 unbeaten games. If you look at the numbers, you cannot say a guy who has been undefeated 47 times on the trot is a weak keeper. The rest is opinion.
"If I was convinced he was not good enough I wouldn't play him. But he will play on Sunday."
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