They are five points adrift of Birmingham, who were promoted alongside them last season, and allowing that gap to increase to eight points is unthinkable in the home camp.
Wolves head into the match having conceded a total of eight goals in their last two games against Arsenal and Chelsea, but a defiant Henry said: "Our confidence hasn't taken a knock from the last two defeats.
"Arsenal and Chelsea are among the top teams in Europe and, while you give it your best and obviously try and pick up a result, it's always going to very difficult.
"We've still got the belief that we can climb the table and there's still been a positive mood about the place this week.
"We know Birmingham will be another tough game. It's a local derby and they've picked up some decent results in recent weeks.
"But we've played some good stuff this season and just need to turn those performances into more points on the board.
"If we perform as we know we can then we have every chance of winning the game and that's what we'll be striving to do."
Henry is convinced Wolves can show they are at home in the top flight and that all they need is one good result to turn their season around.
He has taken heart from the success Stoke had as Premier League new boys last season, and added: "I think we have taken to this league and not looked out of place.
"But we have to prove that we can stay in this league and build on that next season like Stoke City.
"They had a fantastic season last season, are looking more and more like a mid-table team and are trying to push on.
"You have to stabilise first and that is what we are trying to do.
"It will be a massive season for us if we can stay in this league.
"I feel the club could then really kick on next season and go from strength to strength."
Birmingham will pose a major test for Wolves as only three teams - Chelsea, Manchester United and Aston Villa - have conceded fewer goals than Alex McLeish's City side this season.
But Wolves defender Richard Stearman believes the team should look no further than Hull to see how quickly things can turn around.
Two wins and a draw in their last three games have revived Hull's season, and Stearman said: "Not so long ago it was doom and gloom at Hull.
"But they have put some good performances together and you can see what a difference it has made to them.
"They have jumped out of the relegation zone by stringing a few results together and that is what we are aiming to do.
"We have just played two of the big hitters in back-to-back games but this match against Birmingham is one we are looking to get points from."
Wolves boss McCarthy will recall striker Kevin Doyle after he was rested for last weekend's 4-0 defeat at Chelsea following his exertions for the Republic of Ireland.
Right-back Kevin Foley is also on alert to start after French defender Ronald Zubar suffered an ankle ligament injury in training.
Wolves 11/8, Birmingham 2/1, Draw 9/4