Although they presently trail Montenegro in Group H, a draw would represent a positive return given the fixtures which remain.
"I have never looked at any game, either for Manchester United or England, and said I will play for a draw - and I never will," said Neville, who was appointed as Roy Hodgson's assistant prior to Euro 2012.
Neville added: "That is not the English mentality. We are not Italians, who can grind things out and be cagey for an entire game.
"We want to be on the front foot. Our mentality must always be to try and win."