Roma were held to a goalless draw at Inter Milan last weekend having previously fallen 2-1 to Cagliari in their league opener.
"Even though we are still making mistakes, we are on the right path," Luis Enrique said. "My team is working well and I can see that we are making improvements.
"I am certain that soon we will get the results that we deserve."
Scoring has been Roma's main problem, with the Giallorossi having found the back of the net just once in their two games.
With that in mind, Luis Enrique, who is still without injured attacking midfielder Erik Lamela, is set to hand forward Marco Borriello his first start this season.
The Italy international is expected to join Bojan Krkic and captain Francesco Totti in attack.
Bogdan Lobont will replace Maarten Stekelenburg in goal, after the Dutchman suffered a head injury against Inter.
Siena head into Thursday's game on the back of last weekend's 1-0 defeat to Juventus.
Despite the loss, Giuseppe Sannino's men showed an improved performance with respect to their goalless draw at Catania in their Serie A opener.
"It's a pity we didn't get at least a point against Juventus," said Siena midfielder Gaetano D'Agostino.
"We certainly deserved much more considering our performance.
"On Thursday we face a great team but we go to Rome determined to play our game and eager to get our first win of the campaign."
The visitors will be without defender Gabriele Angella and midfielder Reginaldo, both injured.