The ex-Birmingham boss was made well aware by the club's board of the lack of funds at Villa Park, and remains undeterred by Wednesday's opponents QPR's spending this month
The Midlands club have signed Robbie Keane on loan from LA Galaxy and defender Enda Stevens from Shamrock Rovers for close to £250,000 in the current transfer window, but have shown no signs of adding to that list since.
“I'm not frustrated at all because I knew what the parameters were,” McLeish told reporters.
“If you know in advance, and you're working with your board and they're honest, then if they say 'no' then at least you're getting that answer.
“It's not 'maybe we will, maybe we won't', and that's what leaves you frustrated.
“We know the course we're steering, and we've got to keep on that road.”
The Villans face a side with contrasting spending power on Wednesday night when they host the comparatively big-spending QPR.
New boss Mark Hughes has added the likes of Taye Taiwo and Djibril Cisse to his squad in recent days but McLeish refuses to be distracted by his opponents’ preparations.
“[QPR chairman] Tony Fernandes has made it clear that he's got money to spend, so Mark Hughes isn't going to pass up that opportunity and he's already been linked with some big names,” he added.
“We have to be concerned with our own performance tomorrow night and get back to winning ways at Villa Park.”
The eyes of the Villa faithful will be on striker Darren Bent as he attempts to score his 100th Premier League goal, though he remains behind loanee Keane in that regard, the Irishman having notched 125 in the competition over the years.
“The boys were kidding him on, saying Robbie's ahead of him,” McLeish said of the England striker.
“So maybe he's got to chase Robbie and make that his first target.
“I've never seen any bad attitude in him at all,” the Scot added of rumours that the former Sunderland man was agitating for a move away from Villa Park.
“There were a couple of games where he was frustrated because he felt he could have scored more goals, but it's great when strikers feel like that.
“He's certainly back on the scoring trail at the moment.”