The Dane is yet to find the back of the net since joining the club in the summer.
With top goalscorer Clayton Donaldson out through injury, Gary Rowett has started the 22-year-old in each of the Blues' last three games.
However, his inclusion in the starting line-up has coincided with a three-game losing run that has seen the Midlands outfit fall to eighth in the Championship table. And Brock-Madsen explained that getting off the mark is not as important as Birmingham's wait for a win.
"Am I desperate to get that first goal? No, I am desperate to get a win," he said.
"Of course I want to score goals but the most important thing is we win, so if we had won on Saturday and I hadn't scored it doesn’t matter.
"The most important thing is we win and get the three points - that's what it's all about," he added.
With a slightly daunting trip to high-flyers Middlesbrough ahead in their next game, the former Randers forward will be aware that if the club wish to come away from the Riverside Stadium with three points, it could well depend on whether he is able to end his drought.
Aitor Karanka's men are the top scorers in the top-half, and thus, it may require most of Birmingham's side to keep their opponents at bay. That tactic may see the Dane isolated up top, meaning that the Blues' success may come down to whether he is able to get the better of a Boro defence that has conceded just 12 times this season.