The Dane hopes to see the south Wales side end their poor run of form when they face League One outfit Crawley at the Broadfield Stadium on Tuesday evening
The former Mallorca boss enjoyed a fantastic start to his Premier League career with convincing wins over QPR and West Ham, but has seen his team has succumb to defeat in their last two games.
But the former Denmark international sees a trip to the Broadfield Stadium as an opportunity to arrest that run of poor form.
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"We want to get that winning feeling back because you go from everything being perfect by winning two games and getting a draw where we played very well, and then suddenly you lose two games," he told reporters.
"You have to be careful this run does not extend. This is what Tuesday can bring by going through to the next round.
"We don't want to lose three games and then it's four games since we last won. Football turns quickly and that's why we need to get back on the winning track as soon as possible."
Swansea are big favourites against League One opposition, but the former Real Madrid and Barcelona forward believes that status simply adds pressure.
"It's not a very good game to play," Laudrup continued.
"When you play a League One team everyone expects you to win because you are Swansea and you play in the Premier League.
"You have much more to lose. It puts pressure on everybody. The players can't consider that this is just the Capital One Cup and not the Premier League.
"Everyone knows the Premier League is the daily bread but we want to go as far as possible in the cup."
The 48-year-old manager is expected to rotate his team for the midweek clash, and admitted he views the match as an opportunity to rest some of his senior players and hand youngsters a chance to impress.
He added: "I want to win but it's true that we have players who have already been out that came back on Saturday like Ashley and Jonathan. These players probably won't play on Tuesday.
"[Nathan] Dyer is banned, it is Chico's last game of his ban and Kemy [Agustien] is still out.
"But we will make a list and the rest will come from the Under-21 team. We are talking about the future and they will get the opportunity to show what they can do in these games. But I want to win this game."