Frank will taste European football for the first time when facing Villarreal on Tuesday night.
The Dane reflected: "Obviously it’s a big thing. I am hugely looking forward to it. I know it will be special when we have that Champions League anthem playing. That will be the moment. Now is preparation, a few cameras, business as usual but when we walk out onto the pitch tomorrow that will be very special.
"I believe I have a fantastic squad and we would like to go as far as possible. When you’re in a competition, you ultimately want to try and win it, but I think the most important thing is one game at a time. We have a game against Villarreal tomorrow. A very good team. I have been very, very impressed when I have studied them, but we will do everything we can to get a good start."
Frank was asked about locking horns with Villarreal coach Marcelino.
He responded: "Huge respect for Marcelino. I think he has done a top job. You can see his team is well structure, well organised. The way they play, they like to dominate as much as possible on the ball and I’ve been impressed with what I’ve seen. It’s going to be a good challenge."
On his personal journey in reaching the Champions League, Frank also stated: "Of course it is a fantastic opportunity and experience tomorrow.
"In many ways you would say yes we played with Brentford in the Championships at Griffin Park, a small, compact stadium and tomorrow we are playing in one of the best stadiums in the world – maybe the best. In front of our fantastic fans, it is a European night and we know they will be absolutely on it.
"It will be so special, so yeah really looking forward to the first two minutes, the Champions League anthem and then it’s (now) focus on the game."