McCarthy has huge respect for the Gunners and believes they are "the most entertaining side in the country".
He watched AZ Alkmaar crash 4-1 to them during the mid-week Champions League clash when displaying few positive intentions and insists Wolves will not fall into the same trap.
The former Republic of Ireland manager said: "I won't be sat here on Saturday complaining 'we didn't have a go at them'.
"I won't be sat with a beer in my hand thinking 'we just let them just roll us over and tickle our belly'.
"I watched AZ Alkmaar at Arsenal, a fellow Champions League team, who over the last few years have won their league, have been fabulous and have some great footballers in there.
"Yet they got slapped completely when playing one upfront, sitting back. They got played through, round, over, they just got mullered completely. We will try and play on the front foot."
McCarthy added: "We know who we are playing against and, if I were to run through their team and highlight their strengths, I would just be putting our team on the back foot.
"There is no point. They've all watched them. I can highlight the way they play and maybe there is something we can do to them that will cause them a problem.
"Has the best team always turned up and won? No. I live in hope all of the time.
"If you don't believe that can be the case, you might as well not turn up and, if I sit and worry about them, I might as well not bother.
"If I give that feeling to the lads, then they might as well not bothered so you can be rest assured it is quite the opposite.
"Arsenal are not going to win every game this season. They are going to lose some. It just might be the case on Saturday.
"They have lost to some of the 'lesser' teams and they have sometimes murdered them as well.
"It is not written in stone under Premier League rules that Wolves can't get anything off Arsenal and Chelsea in our next two games."
McCarthy is hoping Wolves can be as effective at set pieces against the Gunners as last weekend when scoring twice from dead ball situations in the 2-2 draw at Stoke.
He said: "Arsenal are the best passing and entertaining team in the country. But I noticed they let a two-goal lead slip at West Ham and they conceded one against Alkmaar when 4-0 up.
"They can concede goals. There is no doubt we will have free-kicks, corners, throw-ins and they don't defend better than anyone else.
"It is a fabulous game for us, a brilliant game to have.
"I'd sooner they are coming here rather then Doncaster, Nottingham Forest, Barnsley, Derby, Middlesbrough, Plymouth, QPR et al. Any of them.
"I prefer Arsenal to be coming here this weekend and I'm going to make the most of it and enjoy the game."
Wolves striker Chris Iwelumo has been ruled out after suffering a recurrence of a metatarsal problem during his full top-fight debut at Stoke.
McCarthy has confirmed that last season's top scorer Sylvan Ebanks-Blake will return to the starting line-up.
Blake was axed from the first eleven for the trip to the Britannia Stadium despite scoring his first Premier League goal, albeit from the penalty spot, against Aston Villa a fortnight ago.
Arsenal 4/11, Draw 7/2, Wolves 8/1