The Rossoneri travel to Friuli looking to put a disappointing week behind them.
Milan were held to a goalless result by Napoli last weekend before falling 2-1 at home to Juventus in the first-leg semi-final of the Coppa Italia on Wednesday.
"It's going to be a difficult game from a tactical standpoint," Allegri said. "We will need to be patient.
"We will have to be very focused because any distraction will put us in danger.
Last weekend's result left Milan second in the standings, one point behind Serie A leaders Juventus, who have a game in hand.
"The important thing is for us to return to victory," Allegri said. "In the last five games we have lost three times and we need to improve.
"However, I don't see a Milan in crisis.
"We are still alive in all three competitions even though Juventus are closer to the Coppa Italia final."
Milan will have to overcome the absence of leading scorer Zlatan Ibrahimovic.
Ibrahimovic was sent off last weekend for violent conduct towards Napoli's Salvatore Aronica and will serve his first of a three-match ban on Saturday.
With Alexandre Pato and Kevin Prince Boating still sidelined through injury, Stephan el Shaarawy is set to partner Robinho in Milan's attack.
Udinese coach Francesco Guidolin expects a strong AC Milan despite Ibrahimovic's absence.
"Ibrahimovic is a crucial player for Milan," Guidolin said. "But Milan are packed with talent, they are the Italian champions and in terms of quality, they have the best side in Serie A.
"I'm sure they can push though any absence."
Ibrahimovic has scored 15 league goals so far, one less than Serie A's top scorer Antonio Di Natale of Udinese.
Udinese, unbeaten at home this season, are fourth and three points behind second-place AC Milan.
The hosts are without midfielder Giampiero Pinzi and striker Floro Flores, both out injured.