The 33-year-old flanker has skippered the All Blacks since 2006, leading them to victory at the 2011 Rugby World Cup.
McCaw won his 100th international cap at that event on home soil, but concedes his latest achievement has left him somewhat lost for words.
"It's hard to put into words," he said ahead of the fixture in Cardiff. "I always remind myself that it's a privilege every time I get to play for, and captain, the All Blacks.
"I enjoy doing it and, to have done it for as long as I have, I guess I've had a huge sense of enjoyment and learnt a lot doing it.
"To get to 100 is something I'm very proud of, but you can't do it without a good bunch of people around you. That's something I always bear in mind."
McCaw will be eager to mark his skippering century with victory at the Millennium Stadium, which would be his 88th as captain, and history is well and truly on the All Blacks' side.
Wales have not beaten New Zealand since 1953, losing 25 Tests on the bounce over the subsequent 61 years.
Warren Gatland has named virtually the same side as the one that lost 33-28 to Australia on the opening weekend of the November series - Jonathan Davies in for Liam Williams the only change.
Williams turned in a man-of-the-match performance at full-back as a much-changed Wales XV edged a 17-13 victory over Fiji last Saturday, but sees Leigh Halfpenny re-assume the position for the visit of New Zealand.
And Halfpenny - back after missing the Fiji match with concussion - says Wales must approach the match with confidence.
"We have to believe that we can win, right from the first minute," he said. "There is respect for them, but we have to treat them exactly the same as other opponents.
"There is a buzz and excitement and the fact that we haven't beaten the All Blacks for so long means there is an opportunity for us.
"There have been some great victories during my career in a Welsh shirt, but to beat the All Blacks would be at the top of them."
New Zealand will be without talismanic fly-half Dan Carter - described as "rusty" by coach Steve Hansen - as they make 12 changes to the team that earned a hard-fought 24-16 win in Scotland last weekend.
Wales' dramatic Haka stand-off in 2008 is about as much resistance as New Zealand have faced in Cardiff since 1953 - a 26-25 result in 2004 the closest the home side have come to a win - but Gatland will be hoping his side can let their rugby do the talking this weekend.