United travel to Brussels on Thursday for the first leg of their Europa League quarter-final tie, with the competition representing the English giants' best chance of returning to the Champions League next season.
Three times kings of Europe and Cup Winners' Cup winners in 1991, United are chasing a first Europa League title that would see them become only the fifth team -- after Ajax, Bayern Munich, Chelsea and Juventus -- to win all three major UEFA trophies.
"It is one of my goals for this season –- to win the Europa League," said Mkhitaryan, who reached the same stage of the tournament with Borussia Dortmund a year ago.
"I know it is not going to be easy, particularly at this stage of the competition as there are no easy opponents."
The Armenian international scored in Sunday's 3-0 win at Sunderland in the Premier League, but United face an uphill battle to catch Manchester City or Liverpool in the battle for a top-four finish.
The Red Devils dealt Anderlecht a crushing 10-0 defeat in the European Cup in 1956 -- it remains the Belgian club's heaviest continental defeat and United's biggest win -- but the Belgians have won five of their last six European home games.
"Obviously we understand the importance of the tie with Anderlecht in the quarter-finals," Mkhitaryan told United's website.
"We know that we are going to have two very tough games and, of course, Anderlecht are not easy opponents. I know this because I have watched some of their games in Europe; they are playing very well and have very good players of high quality."
- Romero impresses -
"De Gea's injury is not serious and Romero every time he plays he plays so well," Mourinho told MUTV. "The fans are used to having Romero in goal in the competition (the Europa League) -- that becomes the most important competition for us after winning the League Cup."
Wayne Rooney, Juan Mata, Chris Smalling and Phil Jones all remain sidelined however.
Lyon lurched to a disastrous 4-1 home defeat against Lorient at the weekend, ending any slim hope they had of snatching a top-three finish in France.
Turkish league leaders Besiktas visit Parc OL in the first leg of their tie, but the visitors will be without injured Portugal international Ricardo Quaresma while Vincent Aboubakar -- scorer of Cameroon's winning goal in this year's Africa Cup of Nations final -- is suspended.
Memphis Depay is ineligible for Lyon after playing in the competition for Manchester United before his January transfer and skipper Maxime Gonalons serves a one-match ban.
Ajax host German outfit Schalke in the first leg in Amsterdam. The Dutch giants reduced Feyenoord's lead in the Eredivisie to a single point at the weekend as they mount a late charge for a record-extending 34th title.
Celta Vigo take on Genk in Spain in the other quarter-final.
Fixtures (kick-off 1905 GMT)
Ajax (NED) v Schalke (GER)
Anderlecht (BEL) v Manchester United (ENG)
Celta Vigo (ESP) v Genk (BEL)
Lyon (FRA) v Besiktas (TUR)