The Millers secured a late 1-0 win away at Wycombe Wanderers in their opening fixture, while Millwall played out a goalless draw at home to Stoke City last time out.
Rotherham are back in the Championship after a one-year absence and, following immediate relegations in their previous two seasons in this division, are aiming to stay here this time around.
Not since 1961-62 have United won their first two matches of a second-tier season, but that will be the target for Warne on Saturday against a Millwall side tipped to finish in mid-table this term.
The Lions played out an uneventful stalemate with Stoke on matchday one, with the sides managing just five efforts on target between them - just one of those from Millwall.
Boss Gary Rowett was not overly downbeat after the match - a point is a point after all - though he will know that a much bigger effort is required if his side are to seriously challenge for a playoff spot.
Rowett tends to do well when facing Rotherham, having never lost away to them in the Championship in four previous encounters with three different teams.
However, Millwall have lost both of their away league matches at the New York Stadium, with their last away win against Rotherham coming in September 2006 at Millmoor.
Another factor to take into account this weekend is that Millwall were in EFL Cup action on Tuesday, overcoming Cheltenham Town to set up a third-round tie with Burnley or Sheffield United.
Rotherham, who had the week off after being knocked out by Salford City on penalties in round one, will be hoping that plays into their hands on Saturday afternoon.
Rotherham United Championship form: W
Rotherham United form (all competitions): LW
Millwall Championship form: D
Millwall form (all competitions): WDW
Irish defender Trevor Clarke is Rotherham's only confirmed injury absentee for this weekend's game.
At the opposite end of the field, Ihiekwe is a certainty to start after underlining his importance against Wycombe with a clean sheet and a goal.
As for Millwall, Mahlon Romeo has not appeared in any friendlies or competitive matches and is expected to miss out again here.
Tottenham Hotspur loanee Troy Parrott may be handed his debut after missing the Stoke match through injury.
Striker Matt Smith has had a hand in eight goals in his last 10 starts in the Championship for the Lions, although he has not started an away match for them since the start of July.
Rotherham United possible starting lineup:
Blackman; Harding, Robertson, Ihiekwe, Mattock; Ogbene, Crooks, Lindsay, Sadlier; Ladapo, Smith
Millwall possible starting lineup:
Bialkowski; Cooper, Hutchinson, Pearce; Leonard, Williams, Thompson, Malone; Wallace, Parrott, Bennett
We say: Rotherham United 2-1 Millwall
Rotherham are unbeaten in their last four league meetings with Millwall, winning three of those. The Millers have also lost just one of their last nine home matches and have had a full week's rest, so we are going with a narrow home win in this one.