The former Scunthorpe player, 37, converted a late penalty for the Clarets in the first leg of their Championship play-off semi-final win over Reading.
Alexander was part of the Iron team that lost to Blackpool in the 1992 Division Four play-off final and does not want to go through the same emotions against Sheffield United on Monday.
"I've been in a few play-offs and sometimes you can go overboard, getting into the play-offs or getting to the final, and think you've achieved something, but it takes an edge off your game," he told the Burnley Express.
"We don't want to be plucky losers and have people patting us on the back, saying 'unlucky'. We want to go there, play well and get promotion. That's all we want, and everyone's itching to do it throughout the club."