The winner of the tie will face Wigan Athletic at Wembley Stadium next month.
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Blackburn continued to enjoy much of the possession and they went even closer with 16 minutes on the clock when David Dunn's curler drifted narrowly wide of the post.
Millwall's first decent chance came midway through the half as Chris Taylor lashed his effort inches wide before the midfielder did the same again minutes later.
However, the visitors made the breakthrough three minutes before the break when Danny Shittu headed in powerfully.