After a run of four games without a win, the manager wants an improvement from his side against the Saints to make sure their season comes to a close with a finish in the top half
The Welsh club's last win came back at the start of March, and they have only picked up one point in their four league outings since. Laudrup has urged his side to improve their recent form, starting with a win against the Saints at the Liberty Stadium.
"We have six games to go and Saturday is a key game," he told the club's official website.
"We have been in the top 10 for a number of weeks now and if we want to stay there we need a win on Saturday, particularly with the games we have after that.
"Beating the big teams is a bonus, but I'd prefer to beat the teams that are our direct rivals. I believe that if we win on Saturday then we will finish in the top 10."
Laudrup also hailed Saints boss Mauricio Pochettino, who has guided the club to an unbeaten run stretching five league games. They now sit seven points clear of the relegation zone, and Laudrup has been impressed with the job the Argentine has done at St Mary's since joining in January.
"He did great at Espanyol as both a player and a manager," added Laudrup.
"When you go to a new country and a new culture, it is always difficult. But he is doing well at Southampton.
"They have done well recently after getting some important results against the big teams."