The Europa League winners, however, also qualify for the Champions League.
"Every single game is massive now, but I think the one on Thursday is huge," Show told British media. "We have to treat every game in that competition now like it's a final. We want to win that tournament.
"The Europa League is a massive thing for us now -- it's a trophy and it gives us qualification for the Champions League. With the players we have got, we can be unstoppable."
Fullback Antonio Valencia is expected to return against Anderlecht after missing United's last two league fixtures while goalkeeper David de Gea is a doubt with a hip injury.
United's Europa League matches are sandwiched around a clash with Premier League leaders Chelsea on Sunday.
(Reporting by Aditi Prakash in Bengaluru)
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