PA PhotosMillwall's Danny Shittu scores his team's opening goal

Can any Premier League manager suffer two cup exits to lower-division sides in the same week? Paul Lambert is about to find out. “I'll keep fighting,” he said after Aston Villa's FA Cup defeat at Millwall, hot on the heels of Carling Cup humiliation at the hands of Bradford City. “It's not about me, it's about the players and fans. I'll try everything I can to turn it around.”

He should survive long enough to get a chance to make some reparation in the coming week. Christian Benteke was omitted from the squad altogether, a reflection of Villa's priorities with a crunch Premier League match against Newcastle coming up on Tuesday - and of how much they have come to rely on the young Belgian already in a few short months. “The league's more important - we've got a massive game on Tuesday,” Lambert admitted.

Still, this was no perfect preparation for any future objective. Villa could not be accused of shirking their workload, but the amount of basic mistakes in their play must have chilled their fans further on a parky Friday night. “It's individual errors that are hurting us at the moment,” admitted Lambert, “and you have to learn from that. You have to be prepared to get hurt in the box. You can't defend set-pieces like that.”

The manager was referring to the ease with which Millwall's titanic centre-back Danny Shittu headed a first-half equaliser for the hosts from a James Henry corner - the second costly goal Villa have conceded from a dead ball this week - just four minutes after Darren Bent had given the top-flight side the lead. “I was surprised,” Shittu said afterwards, explaining that manager Kenny Jackett had instructed him to make forays forward for set-pieces. “I'm normally back on the halfway line. Their guys looked really small.”

This had always been a tie with danger scrawled large over it for Villa. Lions boss Jackett made the point in an interview with The Guardian this week of the formidable noise that this most central of London grounds makes when even only half full, and a 15,000-strong crowd didn't disappoint. This is no place for the faint of heart.

Initially, Villa didn't flinch in the bear pit. Darren Bent looked pumped-up and engaged from the start, laying off intelligently for Charles N'Zogbia in the opening minutes, though the Frenchman sliced his shot well wide. His opening goal may have been a slight mis-hit, but it was intelligently guided into the wrong-footed David Forde's opposite corner, the goalkeeper having pushed out Andreas Weimann's shot after he motored past Shittu. Fabian Delph had begun the move, wining a fierce challenge with Liam Feeney before setting Weimann away. As Delph hobbled off for attention in the aftermath of the goal (he was forced off for the night just before the interval), he had the consolation of knowing he showed just the fight that his side so badly required.

Lambert clearly still believes in his own methods, giving N'Zogbia a free role, even in such a difficult situation. Fortune certainly favoured the brave in the first half, with the No. 10 providing by far Villa's best creative outlet and proving difficult for Millwall to track. The snap of the home midfield, and in particular the excellent Liam Trotter, enabled them to traverse this difficult opening.

Jackett would love to have Lambert's options at the sharp end having lost prolific pre-Christmas loanee Chris Wood, sold to wealthier rivals Leicester by his parent club West Brom. The lack of a focal point hinders considerable enterprise. Andy Keogh runs the channels willingly enough, but lacks Wood's power.

Henry was always their most-likely-to as the match pressed on. He is far from the robust stereotype of Jackett's side, still a developing player who makes his share of mistakes, but he plays with ambition and has a real creative authority about him. At one point, his own team-mate Adam Smith felt his zest when Henry shoved him out the way two-handed to take a quick free-kick.

Cliché was, unfortunately, just around the corner midway through the second half, as assistant referee Mark Scholes ran infield to take cover when a handful of plastic drinks bottles were launched in his direction from the Dockers Stand, after he flagged for a contentious free-kick against Mark Beevers. Skipper Shittu approached the throng to ask for calm. Unfortunately, the actions of a reckless minority will continue to define Millwall's image in the eyes of a majority of outsiders. This is a club that genuinely has its heart in the community, as the widespread leafleting protesting the imminent closure of Lewisham Hospital outside the ground demonstrated. A club delegation will join Saturday's protest march, which saw this game brought forward to Friday.

Shittu's attempt at resolution was typical of his inspirational display. His sure and sturdy presence was in marked contrast with the calming influence that Ron Vlaar should be - but isn't - for Villa. Of all the shortcomings we might have expected from Lambert's team, poor distribution from the back by their captain shouldn't have been one. Millwall often lacked the guile to make them pay for it, but it piled unwelcome pressure back on to Villa.

John Marquis's late winner wasn't exactly the apex of a home storm, but neither was it a surprise when nodded in at the second attempt after his original attempt crashed back off the crossbar from Smith's excellent, looping delivery from the right. Marquis trudged off the pitch to an appreciative ovation in injury-time - not to eat up valuable seconds, but simply shattered after his first start in over a year.

Again, it was partly self-inflicted by Villa, all stemming from a throw needlessly conceded on the Villa left by a careless miscontrol by Ciaran Clark. Lambert claimed after the match that his squad have “always been pretty upbeat and I don't have the problem of lifting their spirits”. Perhaps a spot of self-examination would not go amiss. And Millwall? “I don't mind who we have (next),” said Shittu. “As long as we get them here at The Den.”

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