The 31-year-old, who left Millwall on Friday to move to the City Ground on a contract that lasts until the end of the season, admits that he wants to prove himself at the East Midlands club as he bids to secure a long-term deal.
Henderson told the Nottingham Post: "It is not the biggest contract in the world, but there is a challenge there for me.
"It is one I am looking forward to taking on. I do hope to have a longer-term stay here. That is my focus; my goal.
"I want to prove myself at this club and score the goals that will persuade them to give me the contract that I want with this club."
Henderson leaves Millwall after scoring seven goals for the Lions this season.