Liverpool take on Romanian champions Unirea Urziceni tonight at Anfield, and Insua said: "Maybe (winning) it would be very nice for us.
Related ArticlesRafael Benítez left to rue Torres absenceBenítez dismisses play-off ideaKenwyne Jones eyeing Liverpool moveCarragher set for return against UnireaGlen Johnson prepares for Liverpool returnSport on television"We've had disappointment in the past but we're not finished so it's better to think about the future and to leave the disappointment behind and try to play the next game as best we can.
"We will see if we can win the Europa League because it's something we want.
"It's important for the players to play in European competition. There are not many players that get to do that so we will have to do our best and try to win."
Romanian champions Unirea have one of Insua's Argentinian compatriots, Pablo Brandan, in their squad and the Liverpool left-back stresses Rafael Benitez's side will not be taking Roni Levy's team lightly.
"They have one Argentinian player Paulo Brandan and I watched him in Argentina but I haven't seen him in Romania so I don't know how he's doing," he said.
"They have a new manager, they're organised and they will play counter-attack so we have to try to keep them quiet and try to push them and win the game.
"We have to keep the momentum because in the last nine or 10 games we didn't lose too many and hopefully we can win on Thursday and then get to the next stage."