The former Netherlands boss says the Black Cats' players are conscious of the importance of a win in the crunch relegation encounter.
The Black Cats are currently two points clear of Hull City in the final relegation spot, but have a poorer goal difference than the Tigers.
Nevertheless, with Hull facing two difficult fixtures in games against Spurs away and Manchester United on the last day of the season, Advocaat made his target clear as he spoke to the press ahead of this weekend's game against Leicester City.
A win against the Foxes would mean Hull need to beat both top six sides in order to stay in touch, and Advocaat has revealed that his players have been training well this week and focused on the three points.
"The way they have trained is very positive," said the former Rangers manager, in quotes on the BBC. "Everybody realises one win can save the season and the support of our fans is key.
"We have to win. It does not matter what kind of goals you score as long as you score.
"We have to go out with the right attitude and everyone needs to understand their role. Winning is the most important thing."
The Dutchman has helped the Black Cats to a vital three wins and a draw in his six games in charge at the Stadium of Light, a points tally that is looking like it could well be enough for Sunderland to escape relegation.