Argentina's run of victories has taken in qualifiers against Ecuador and Colombia, lifting it to third place in the group.
It lies a point behind Uruguay, which takes on Colombia, and two behind leader Chile, which is not in action.
Messi warned: "Paraguay will be very difficult opponents but we must get the job done at home."
Goalkeeper Sergio Romero agreed: "Paraguay maybe are the most difficult adversaries we had in the past: we lost the last two matches we played in Asuncion and had to battle hard to rescue a draw at home."
Head coach Alejandro Sabella has had to deal with injuries in the build-up to the game, with Manchester City star Sergio Aguero and Newcastle United defender Fabricio Coloccini both unavailable for both the Paraguay match and next week's clash with Peru.
Aguero's City team-mate Pablo Zabaleta is also doubtful with a hamstring strain, with Napoli's Hugo Campagnaro on standby to replace him.
Leandro Desabato of Estudiantes La Plata will replace Coloccini while Aguero's absence creates a vacancy for Paris Saint-Germain's Ezequiel Lavezzi in attack.
Messi said: "Despite the changes, the group is always as strong and that's a good thing."
Paraguay has yet to win away from home during the qualifying campaign but midfielder Victor Ayala believes if it can keep Barcelona star Messi under wraps, it can spring a surprise in Cordoba.
The Lanus player said: "Without Messi, Argentina is not much better than us. If we can control him our chances will surely improve."
A defensive visiting line-up will look to Malaga new boy Roque Santa Cruz and Cerro Porteno's Jonathan Fabbro for goals.
It will be a particularly noteworthy occasion for the latter, with the 30-year-old making his competitive international debut against the country of his birth.