Marseille host Europa League Group C leaders Fenerbahce on Thursday, desperate for a win to keep their hopes of progress alive.
The French side are third in the group, level with second-placed Borussia Moenchengladbach and five points behind Fenerbahce.
The last time they played, Marseille had a 94th-minute goal from Andre Ayew to thank for securing them a 2-2 draw in Istanbul.
With injuries to key players and a 1-0 loss to Bordeaux in Ligue 1 at the weekend, Baup has warned his side they are in for a tough time on Thursday.
"Our group is made of talented squads. We are speaking about a European cup," Baup said.
"When you are in a group with the Moenchengladbach, Fenerbahce or even (Cypriot side AEL) Limassol, you know that it is a proper European challenge. The group is not easy.
"We did start not too badly by drawing in Fenerbahce or after, Limassol (a 5-1 win at home). However, we had more difficulties against Moenchengladbach."
Baup said his side's chief goal this season is to do well in Ligue 1, where they sit in fourth place, but insisted they will be giving their all on Thursday.
"As you all know, the league in France is our main goal, but to do so we have to be in the best position in the table," he said.
"Already seven or eight clubs are trying to get a place for next season's Champions League. After all, the Europa league is as well a great competition. We will do our best."