Boss Sir Alex Ferguson handed the armband to the Serbian at the start of the season and the team have made an excellent start to the season.
"I feel very proud," Vidic told United Review. "It came as a bit of a surprise but I am enjoying the role.
"You have to think about your responsibilities - your behaviour, the way you play, the way you train. I know that I need to set a good example on and off the pitch.
"In terms of my game I do not think anything has changed. I've always talked a lot on the pitch. You have to communicate as a defender and organise things whether you are captain or not.
"I tend not to think about it (the captaincy) when I'm playing. I am just focused on doing my best for the team as I have always done."
Vidic insists there are a number of leaders to help him in the role at Old Trafford.
"The likes of Rio (Ferdinand), Gary (Neville), Giggsy (Ryan Giggs) Scholesy (Paul Scholes), Edwin (Van der Sar) set the example," he said.
"The way they help the other players is fantastic. They have helped me develop and I want to help the younger lads do the same."