The Red Devils welcome the Belgians to Old Trafford with a slight advantage at the halfway stage of the quarter-final tie, having scored an away goal in the 1-1 first-leg draw last week.
Fellaini acknowledged that the visitors are likely to raise their game as they look to claim a major scalp on their way into the semi-finals, but he is confident that his side will have enough to progress in front of their own fans.
"It will be a tough game again. Every game is tough. When we play against a foreign team or even an English team, they all want to beat Manchester United so they will give everything to try to do that. But we have a big chance when we play at Old Trafford," he told the club's official website.
"We know how to play there and we will give everything to try to reach the semi-finals. I think Thursday will be a big game and we will do everything to win. This game will be different. The stadium is three times bigger than the stadium of Anderlecht, so it will be a completely different atmosphere. Everyone in the club – the players, the manager, the staff – wants to go all the way, so we work for that.
"We have done very well in the games [at home in Europe] and scored a lot of goals too. Now, we must continue this and win again on Thursday so we can go on to the semi-finals. The fans are always looking forward to the European matches and of course they will help us.
"They will create the noise and push us to try to win the game which is important. We are getting closer and closer to the final which is where we want to be. But we can only think about Thursday now and go for it."
The UEFA Cup/Europa League is the only major European trophy that United have never won.