Although he was linked with a move to Glasgow Rangers in the close season, Don wants to set the record straight.
"I got asked about the Rangers thing and I answered it but I am more than happy to be here - it is a terrific club," he insists.
"It was a difficult one, a misconception, and I am happy to be a West Ham player."
His attitude is that there is no point any of the players feeling sorry for themselves following relegation, and that there is a duty for those players who endured the agony of last season to haul the Hammers back up.
"The quality is not there as much as it would have been if we had kept all the top names but what can we do?
"We can either cry about it or knuckle down to try and get out of this division, which is what the players are trying to do.
"We have lost a lot of players but I feel that everyone is tight, sticking together."
Looking at the 0-0 draw with his old club Sheffield United on Saturday, he insists there were plenty of positives.
"I think we can take heart; we didn't play great but I was well impressed with the way we battled and the fans couldn't fault us on that effort," he says.
"We can play better, though, and everyone is trying hard; we are not getting helped sometimes by the fans - we can understand their frustrations but sometimes we need them to be 100% behind the players because it is not easy out there when it is not going right.
"We just wished they were behind the players a little bit more; West Ham is a great place to play your football, it really is, but the only way we are going to get through it is by everyone sticking together.
"We are desperate to go back up, I am sure the fans are as well, and it is the only way it is going to happen.
"And four points out of six, with the win in the cup as well, is a decent week.
"If we had gone to Preston and drawn 1-1 and won on Saturday it would have been exactly the same, still four points, so it is not the worst start in the world."
As for adapting to life in the first division, he adds:
"I am finding it all right; it was tough at Preston in the sun having missed a couple of days in preseason through injury, but I felt really strong against Sheffield United.
"I was happy the way I worked on Saturday; I felt really strong going into the last five minutes.
"I know I didn't play my best football but a point is not the end of the world."