The Hoops will be looking for their first points of the campaign after their 2-0 defeat to Atletico Madrid two weeks ago.
"Udinese are one of the best sides in Serie A at the minute," said Lennon.
"We have to try to take maximum points from our home games and, with a bit of luck, get something away from home," said Lennon.
"I want us to go out there, get the crowd on our side as quickly as possible and set a good tempo to the game."
The Bhoys' inclusion in this season's competition is a result of qualifiers FC Sion being thrown out of the tournament after they fielded ineligible players in their two-legged playoff against the Scottish side.