Roy Hodgson's side face the Group H minnows on Friday and the Everton left-back accepts nothing other than a victory will do before they head to Podgorica for a meeting with the leaders on Tuesday.
Draws against Ukraine, at home, and Poland, away, have left England in second place but they can reclaim top spot in their final qualifiers before the summer break.
"The first game especially is a game everyone expects us to win, it's one we must win," Baines told FATV.
"You know the job in front of you with the onus on you to go out and get a goal as early as possible and get the game won.
"Sometimes it is not as easy as you'd like it to be when they camp so many men behind the ball.
"We've got a tougher game after that, one that we know is going to be really difficult but one we know we have to try to win because we want to finish this season in terms of the qualifying campaign on a high.
"The two draws put us under more pressure to go and win that game but we feel the worst case is we wouldn't want to lose that game.
"If we weren't to win it wouldn't be over but we want to put ourselves in a strong position to be able to pick it up again next season."
England are without injured midfielder Jack Wilshere and Baines admits that is a blow for the squad.
"It's a very big loss," he added.
"He is a top player and is important to us and Arsenal and he'll be missed by both of us.
"His style of play you could watch all day but we have a lot of players in the squad and I am sure we will be able to manage."