The Tigers got off to a losing start in the competition last weekend when they were beaten 23-9 in Toulouse.
Cockerill has now stressed the importance of his team getting their first win on the board against their Welsh opponents at Welford Road.
"We have to win this weekend. If you lose, you'll struggle to qualify," he told Sky Sports News.
Ospreys opened their Heineken Cup account with a comfortable 38-17 win over Treviso.