Emery was speaking in his first press conference since taking over at Villa Park and immediately set out a list of his objectives at the club.
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The Spaniard takes charge of his first game on Sunday when Aston Villa host Manchester United and admits his primary mission is to find out more about his players starting this weekend.
"My dream is to win a trophy with Aston Villa. It's my challenge," Emery told reporters on Friday.
"My second dream and my objective could be to play with Aston Villa in Europe. But now, we have to start thinking only about the next match because we are not in a good position in the table now.
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"Each match is going to give us information about the players and I want to test and check the individual and collective. My only focus is on Sunday against Manchester United."
Emery takes over an Aston Villa side sitting in 16th place on the table but only one point above the bottom three.
Since the departure of Steven Gerrard last month, Villa picked up three points in a 4-0 win over Brentford but were beaten by the same scoreline at Newcastle last weekend.
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With the club's frailties continuing to be exposed, Emery admits he will need to quickly improve the performances of his team to stand any chance avoiding a relegation battle this season
He added: "I think our players know they are underperforming and my idea first is to try and help them.
"To have possibilities to improve a bit in the beginning their confidence, trust in each player and to play together and create more inside.
"To show everybody our best wishes to improve and to help the team."
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The former Arsenal boss says he wants to keep things as they were before he arrived including John McGinn remaining as club captain -for now.
He also expressed a desire to remain at Villa Park for the long term to help the club achieve their 'dreams'.
Emery continued: "I want to create a new way and in football time isn't as much. I want to be here for a long time and each step ahead thinking to improve.
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"With our dreams and my ambitions, they gave me the same idea that I have and the ambitions to improve as soon as possible but thinking each step to be strong."
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