The Reds were 1-0 down at Burnley, but came roaring back to win the game 3-1.
And Shaqiri credits Klopp for ensuring the players would be brave in the second half of the midweek clash.
"It is always tough to play here," Shaqiri said to reporters after the win.
"I played with Stoke here and it was also a cold, rainy day. It is not simple to play this game but we managed it very well and we fully deserved to win.
"First half maybe not so good but the second half we played like we usually play so we got a lot of chances.
"At half-time the manager just said we have to be more in the game, more lively in the game, and to win the ball more because a lot of times we played not forward but back.
"We weren't exactly perfect on the ball but in the second half we did better and scored three goals.
"We have to be brave in these games. We know we are going to have a lot of possession but obviously we have to defend well too.
"They scored, I don't know if it was a foul or not but they decided to give the goal. But we stayed calm and it was most important to take three points from here."