The Bairns are keen to put a stop to the sequence of defeats – five in all competitions – which has bedevilled them since they enjoyed a 3-0 win over Clyde on August 21.
The next chance for reparation comes tomorrow (Saturday) at Montrose and McKay, 28, said the approach to the game would be the same as it was every week.
"We’ll be looking to collect three points and find a way to go and win the game,” he said.
"In the last few weeks we've struggled to find the solution of how to win the game, so we need to get to that quickly.
Nicky Hogarth: Former Graeme High pupil signs for Falkirk on loan from Premier League newcomers Nottingham Forest
'First class attitude' the key to Falkirk's 3-1 victory over Peterhead, says boss
Falkirk 3-1 Peterhead: Hosts dominate to pick up first win of the league campaign
Average league attendances for all 42 SPFL clubs in 2019/20 season
Will Vaulks: Former Falkirk favourite completes shock third tier move
"The mood here is good – it has always been good – and training has been good. It’s given us the platform to go and perform at the weekend.”
Stewart Petrie’s Montrose side will be looking to recover after last week’s 2-0 home defeat by Alloa and McKay reckoned their hosts would approach their game in their own distinctive way.
“Everybody is different and every team has a different style of play,” said McKay. “It’s a new task for us every week against different opposition, so we will just be looking at going to get three points.”
“We know, of course, the results have not gone our way in recent weeks but the performances have not been terrible – not even close. I have been there before in my career where we have dominated games and you come away scratching your head over how you've been beaten or not picked up three points."
It could be difficult when teams sat in and made it hard to find space in which to play, added McKay, but Falkirk were looking to get to the solution of how to win these games as a squad.
“All the staff here and everybody else is working together,” he added.
The old cliche about taking every game as it comes was applicable but McKay, whose career has also included spells with Hearts, St Johnstone and Inverness Caledonian Thistle, said it always began with hard work.
“That has always been one of the fundamentals of football. If you out-work your opponents, then the rest follows after that – and I mean by that all the training you do on the pitch throughout the week and the build-up. Hard work comes first and that's what we will be starting with.”