The Irish province currently lie eighth, four points back from Edinburgh and five off Scarlets and the coveted top half of the table.
They will need to finish at least seventh to stay in the hunt for next season's Champions Cup and Lam admits defeat in Parma - coupled with results elsewhere - could rule that out altogether.
"If we lose this week, it's all over, it's finished," he told the Irish Times. "We have to put all our energy and focus on getting the win ourselves and see what happens elsewhere.
"What we have seen all season is that any team can beat the other, and where we are going, it's a big challenge.
"We saw what happened in the Scarlets' match against Zebre, so we are under no illusions. They have a lot to play for because they are chasing Treviso for Champions Cup rugby."
Connacht had held sixth spot a fortnight ago but a 31-13 home defeat to GUINNESS PRO12 leaders Glasgow Warriors saw them drop down two places.
However, with a growing injury list in Galway, Lam admits he will have to stick with much the same squad for the Zebre clash.
"We lost control, we knew straight after the final whistle, and for the first time we had dropped out [of the top six]," he added.
"Instead of heads down, we are going after the ten points. We cannot control what happens to other teams, only how we perform."
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