Lopez joined the Rossoneri last week from Catania after weeks of speculation regarding his future.
The Argentina forward had to play the waiting game to sign with the Italian champions, with the Rossoneri having set Manchester City forward Carlos Tevez as their number one target.
"I was always very confident," Lopez told www.acmilan.it.
"It was a very strange week but everyone was very clear with me.
"Milan are the team of my dreams and I think that someone has to take risks to arrive at certain clubs."
Lopez has another motivation to do well with the Rossoneri as Milan have an option to make his move permanent in the summer.
"I want to do everything to stay here for life," he said.
"I never want to leave. I want to do really well, starting on Wednesday. My duty is to score and I will try to make the most of my chances."
AC Milan coach Massimiliano Allegri is unlikely to hand Lopez a starting place, with the team's leading scorer Zlatan Ibrahimovic set to partner Robinho up front.
The Rossoneri travel to the Stadio Olimpico riding a four-match winning streak in all competitions.
Last weekend's 3-0 triumph over Cagliari left Milan second in the standings, one point behind Serie A leaders Juventus.
Milan will be bolstered by the return of defenders Thiago Silva and Luca Antonini from injury.
Lazio and Milan have already met this year when the Rossoneri triumphed 3-1 last week at the San Siro to knock the Biancoceleste out of the Coppa Italia.
The Romans will be looking to avenge that defeat and continue where they left off in Sunday's 3-0 win at Chievo.
Edy Reja's side, who are fourth in the standings, seven points behind Milan, have not lost at the Stadio Olimpico since falling 1-0 to Juventus on November 26.