The All Blacks have not won the Webb Ellis trophy since the inaugural tournament in 1987, reaching the 1995 final and the semi-finals in 1991, 1999 and 2003.
New Zealand reached the quarter-finals at the last World Cup without breaking sweat and then suddenly found themselves up against a battle-hardened French side and lost.
It was the All Blacks' worst ever World Cup performance.
That bitter experience has led to the All Blacks changing their approach as they attempt to win the Webb Ellis trophy for the first time in 24 years.
"We tried to play one game at a time at the last World Cup, concentrate on preparing correctly in the week and doing the business on Saturday," said Henry.
"We had done that on Grand Slam tours and been successful. We didn't really dissect the Rugby World Cup and the challenges of it.
"This time we have looked into the history of the Rugby World Cup. This is a unique tournament because we don't play sudden death in any of our competitions. We need to look at that, think about what that means."
New Zealand have brought Sir Brian Lohore, the World Cup-winning All Blacks coach from 1987, into the camp so the players can tap into his wisdom and experience.
The All Blacks boast a winning record of 85% under Henry and since the last World Cup they have won two Tri Nations titles and completed two Grand Slam tours of Europe.
But there is an anxiety about the New Zealand public that their team will freeze again on the biggest stage of all.
"One of the special qualities of New Zealand rugby is the expectations of the New Zealand public, and I don't think there is any greater expectation in rugby than the expectations on the All Blacks," Henry said.
"That's why they have been so successful. They are the most successful side in the history of professional sport and that's something we should be very proud of.
"What happens in the next eight weeks is going to define this team."
New Zealand were given their official World Cup welcome in Aotea Square in Auckland and the 30-man squad presented with their official World Cup caps.
"The excitement of the support we have in New Zealand far exceeds the pressure and expectation," said fly-half Dan Carter.
"That's why we just love playing in New Zealand.
"To have something like the World Cup in our own backyard is great and I know the players can't wait for it."
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