Lampard will come up against his former manager at Chelsea when the Rams travel to Old Trafford for a League Cup fixture on Tuesday.
The former England midfielder said: "We know what we're coming up again.
"A great Manchester United team that's been put together.
"The fact we're on telly against one of the best teams in the Premier League is a challenge for us.
"If we put in the energy we did today then we'll give a good account of ourselves.
"We must do it because it's going to be a very tough ask.
"What we can't do is go there and walk away and say we should've done this or that.
"We have to give everything and make sure it doesn't pass you by.
"Whether we can win or not is a very tough order but we need to have our fans coming away proud of the team."