United were dumped out of the Europe's premier club competition at the group stage last season.
United face Romanian side CFR Cluj on Tuesday night.
And Danish keeper Lindegaard said: "We want to get through the group. We need it to be a no-nonsense campaign for us this time.
"We cannot afford to make the same mistakes as we did last season.
"The Champions League is always a very special competition to be involved in.
"Hearing the music before the game and the whole atmosphere around the matches is something special every time.
"Tuesday's game is another important one for us but we look at every match as being important.
"The amazing thing about being at United is there no difference between, say, playing Crawley at home in the FA Cup or Liverpool away in the league.
"We take the same approach every time and that is to work in the professional manner that has made the club into what it is today.
"We played in Romania last season and we hope for a similar result there on Tuesday. We have to go out there and win again."