Having led the Bees on an unforgettable journey to the semi-finals of last season's competition, the Dane is now preparing to host the lowest-ranked side in the competition on Tuesday evening.
Oldham are besieged by issues heading to the Brentford Community Stadium, with the side bottom of Sky Bet League Two as fans continue to protest against owner Abdallah Lemsagam.
Keith Curle's Latics are also dealing with a lengthy injury list ahead of facing a Brentford side buzzing after Saturday's impressive 2-0 Premier League win at Wolves.
"In football nothing is easy," Bees manager Frank said. "We've seen it so many times that there's been surprises in the Carabao Cup or the FA Cup.
"Premier League sides getting beaten by Conference teams or League Two sides. That can happen tomorrow, so we're very aware of that.
"Of course we are favourites, of course I expect us to win, but I know that Oldham can hurt us.
"We are prepared for this game as good as we were against Wolves and I will put a strong team out there that I 100 per cent think can win the game.
"But we know it's the small things in football that can change so quickly in the game."
Frank said the win at Wolves gave them a massive boost but stressed the need to be humble and "bang on it" against Oldham, whose fans must look on enviously at Brentford's ownership and structure.
"It is a true privilege - being at a club where there is a clear strategy, completely aligned from the top to the bottom in the club," he said.
"A calm, missionary owner, two fantastic sports directors, we all want to go in the same direction. That's a massive privilege but also it is a good story.
"Twelve years ago I think it was around this time that (owner) Matthew (Benham) went into the club, so everything is possible in every club if you get the right owner, the right people, and then building step by step.
"We are a fantastic example of that. And if you're very progressive and positive, we only started building, so hopefully we can keep adding layers."
Frank will make a number of changes for Tuesday's third-round clash, with Mathias Jensen, Mathias Jorgensen, Saman Ghoddos and Yoane Wissa among those pushing to start for Brentford.
"No injuries for this game," he added. "Everyone is available.
"Of course we have the red card to Shandon Baptiste so he will be out.
"There'll be some changes, but it will be a strong side. It will be with international players and there'll be a strong bench."