He said: "It's a big target for us and of course when you go to Holland you get a game, it's a football country.
"The clubs are always well organised and we will be favourites. It will be important for us to be at the top of our concentration to go through.
"We play the first game away. We know we are a wanted target and we want to go to the first game with top-level concentration."
But Wenger was quick to defend McClaren for the criticism he received over his reign as Three Lions boss.
The French coach said: "It's the players on the pitch who play the biggest part and Steve McClaren will get his team well organised and make it difficult for us.
"I still feel the biggest part will be how well we will play and how we will go into the game.
"He is not at the end of his career, he is in the middle of his career and I believe it is a good opportunity for him to show his quality.
"He is at the period where he will want to show that he can bounce back and show his quality."