Tournament hosts France are overwhelming favourites to reach the knockouts as Group A winners after being drawn alongside South Korea, Norway and Nigeria.
Henry said the men's team, who won the World Cup on home soil in 1998, would act as an inspiration, but Les Bleues must guard against complacency.
"The men from 1998 made France dream and we want to live the same emotions," Henry, who has recovered from a back injury following a fall after getting out of the shower last week, told a news conference.
"For the moment we're living a dream. But tomorrow we must not dream. We will have to be present on the pitch."
France's game against South Korea kicks off the 24-team competition that ends in Lyon on July 7.
(Reporting by Julien Pretot; Editing by Toby Davis)
