Wales have not beaten the All Blacks in 26 matches since 1953 and the world champions are undefeated at Eden Park since 1994.
Flanker Warburton, who starts after a shoulder injury, returns to the ground for the first time since being sent off for a tip-tackle in the 2011 World Cup semi-final defeat by France.
"He who dares wins," Warburton said.
Wales are yet to beat New Zealand on their own turf and the All Blacks have won their last 34 games at the Auckland ground.
The match will be New Zealand's first since beating Australia 34-17 in the 2015 World Cup final.
Steve Hansen's side are favourites to win the three-Test series, but Warburton, 27, says Wales must take the game to the home team.
"There are going to be opportunities in the game where it might be on to go out the back or it might be on for somebody to blitz. If it comes off it pays dividends," he said.
"You're going to have to take a few risks on Saturday, you can't be conservative and expect to win."
Wales coach Warren Gatland added: "When the opportunity arises, we've got to be expansive, we've got to take risks and we've got to play rugby. Often the difference between one side and the other is just a bit of magic."
Warburton's controversial red card against France in 2011 came as Wales' World Cup dream ended with a 9-8 defeat.
But the British and Irish Lion says returning to the scene of heartbreak will not play on his psyche.
"There's so much water under the bridge since then. That never even crosses my mind," said Warburton.
"This is a brand new challenge, to play the All Blacks out here."
Warburton has not played since 30 April and is one of five changes to the team beaten by England last month.
The Cardiff Blues forward says he has benefited from his time on the sidelines.
"It's actually been a little bit of a blessing to freshen me up a bit, to top up the fitness levels," he said.
"I've been doing running for a long time now so fitness won't be an issue.
"Compared to the other injuries I've had it'll be a much easier transition back into Test rugby."
Wales captain Sam Warburton says his side must not be afraid to take risks against New Zealand on Saturday.