Athletic host the first-leg of their Europa League semifinal against United at Sam Mames later on Thursday night.
"You have to play two good games to get through and tomorrow's is the first," Valverde said in his media preview.
"It is an important game of this season and of the club's history. As were the previous semi-finals or last year's final. We know that."
"There are a lot of things we have to bear in mind with Manchester United, they have a lot of depth, positional play, people who can play inside, space up front because they like to run...
"They are a great team. If you pay too much attention to one thing, you get distracted from another. It's going to be a tough tie."
"We should be excited"
On the potential of reaching the final, Valverde admits he's happy for fans to dream.
He added: "When the season starts there are 20 league champions and more Copa winners. That excitement needs to be there, but you can't lose sight of what's in front of you.
"In these competitions a mistake or a bad minute sends you out. You have to know how to play these ties how to manage them."