George Saville takes the free-kick but Blades goalkeeper Wes Foderingham is able to field it from the flick on.
The Blades go direct and Millwall keeper George Long has to be sharp to come out of his area and hoik the ball down the field.
Millwall are asking more questions of the away side.
Daniel Jebbison gives away a free-kick with a foul on Jamie Shackleton on the edge of the area.
Another chance for the home side...
Millwall had an extra 24 hours to prepare for this after they played on Tuesday night, while the Blades were in action on Wednesday.