Having taken to the hallowed turf in both green and blue, turning out for Hibernian and Rangers before his move to Norwich City seven years ago, the former Scotland defender knows what it takes to win, and what it feels like to lose.
Murray will return to Ibrox in another capacity this weekend as he looks to mastermind a victory for Dumbarton and inflict a second home defeat on Ally McCoist's side this term.
Morale amongst the Light Blue legions was low after Rangers' first three outings of the season, the games against Hibernian, Hearts and Falkirk giving them plenty of food for thought as their side toiled.
Only 11,000 turned out to see the 8-1 Petrofac Training Cup win over Clyde on Monday.
But, with the race for the title back on the agenda, the fans will look to play their part once again this weekend.
"You want to start the game well and not concede early doors," Murray said.
"With that comes a bit of moaning from the stands.
"On the other hand, I thought the fans stuck with the side against Hearts and they stuck with them against Hibs as well.
"I think there is an acceptance that they are not where they want to be.
"All the pressure is on Rangers, like it is every week. We can use that to our advantage.
"If you look around the park, they have got great quality. It is a fantastic squad.
"They take a lot of pelters and a lot of abuse but that is part and parcel of being at Rangers. They got it in the SPL, they have had it for the last two years and they will get in the Championship.
"But these players are good enough and strong enough to handle that."
Defeat to Hearts on the opening day of the Championship was Rangers' first at Ibrox since April last year, Peterhead winning 2-1 just weeks after Annan did likewise.
Last term, Stranraer and Stenhousemuir were the only teams to leave Glasgow with a point to their credit.
The challenge of winning at Ibrox remains as daunting as ever but Murray is confident his side won't be fazed.
"I think it is still how it was. Rangers are beatable at Ibrox but you need everything to go in your favour," he said.
"You need to keep 11 men on the park, you need a bit of luck in front of both goals, you need to take your chances, most importantly, and you need to try and play football.
"If you think you are going to go there and play Rangers at their own game then you are going to lose.
"You need to have a gameplan. Going to Ibrox to face Rangers is very difficult, but it is not an impossible task."
While most of Rangers' part-time opponents in the last two years had never played in front of more than a few hundred people before heading to Glasgow on league duty, Murray has several players in his ranks who have walked down the tunnel into the Ibrox arena.
The likes of David van Zanten, Lee Mair, Mark McLaughlin and Hugh Murray have all tasted top-flight action at the Gers' historic home.
And Sons boss Murray hopes that will stand his squad in good stead as they look to cause an upset on Saturday.
He said: "I think having that experience will help. I am not saying that it will get us a result but, if we do get a result, that will be a big factor in it.
"There are a few that have played there but a few that haven't. It can work both ways.
"You saw on Monday that Clyde got a hard defeat and that could have been down to the players freezing.
"Sometimes, the young ones that haven't played there before go and perhaps don't show as much respect as perhaps they would do if they had been there five or six times."
If Dumbarton are going to spring a surprise, they will have to follow in the footsteps of their Championship counterparts and deprive Kris Boyd of scoring chances.
A hat-trick against the Bully Wee got the striker off and running this term.
Murray said: "Kris Boyd is going to score goals, that is a certainty.
"He hasn't scored yet in the league but he got three against Clyde and his confidence will be high going into Saturday.
"He will score and that run will start sooner rather than later. We have to make sure we are at the team that isn't the catalyst for that run."
While Rangers have struggled so far this season, Dumbarton have not had their troubles to seek either.
Stranraer, Raith and Queen of the South have all beaten the Sons so far this term.
Murray said: "It has been a disappointing start for us.
"The Raith game actually wasn't that bad, I thought we were the better team for most of the game but we weren't better for any part of the game against Queens. It was 4-0 and it could have been a lot worse.
"It is not ideal but we are only two league games in.
"Going to Ibrox this week isn't the easiest of fixtures.
"But, on the flip side, it could be the game that gets us back on track."