The Spaniard's record after four games as coach is a defeat and a draw in the Asian Champions League, a defeat to Al Ain and draw to the lowly Dibba Al Fujairah in the Pro League.
"For us, this game is very important to get to the final, but at the same time to see, with a win, that the team is improving and they are learning the concepts," Milla said.
"We think the work we are doing with the players is good, but what we need right now is a win. It also would show the players that they have been working well and can get a result, and what's better than getting to a final?
"It's a derby game and it's motivating for both teams. We will find a much-organised team, who don't let you have much space and are very motivated."
Jazira's record against Wahda stands at 1-1 for the season. They won their Pro League game 2-0 in December before going down 2-1 in the President's Cup quarter-finals last month.
"It is a winner-takes-all game, so it is a special game for the players, technical staff and the fans," said Andrej Panadic, the Wahda assistant coach.
"The players and we as coaches will be automatically motivated for this game because we get to play in a final."
Follow us @SprtNationalUAE