Henry: Make or break for Red Bulls
The 35-year-old's side battled to a 1-1 draw in the first leg of the sides' Eastern Conference semi-final but Henry said the Red Bulls would need to produce substantially better football to be any chance of taking home a maiden MLS Cup this season.
"For me, for everyone, when you enter a competition you want to win it. There's only one winner, one team satisfied at the end of the season," Henry said.
"We've been quite strong at home this season, but this is the play-offs.
"They (DC United) showed us that as we knew that they were a good team so we'll see what we can do to them tomorrow. We have to win, they have to win, so we'll what happens."
Two own goals drew the sides level in the second leg handing the incentive straight back to New York ahead of their rescheduled home leg due to Hurricane Sandy.
"Well it was a cup game, and I think we were quite lucky to go home with a 1-1 draw," he said.
"Having said that, we missed a penalty and who knows what would have happened if he'd scored.
"But we still came back with a draw. But I think to be fair DC played well and we're going to have to step it up."
Whoever wins will face either the Houston Dynamo or Sporting Kansas City in the Eastern Conference Championship Final.