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"He offers us something different from Neil Harris and Steve Claridge and is keen to prove himself again after his career had taken a bit of a backward step," Millwall manager Mark McGhee told the club's official website.
"We're grateful to Gordon Strachan at Southampton for allowing Kevin to come to us and making it possible for us to take him.
"Kevin is sure to face a bit of a hostile reception at Portsmouth on Saturday, given that they are the main rivals of Southampton, but it's up to the rest of us to support him and I'm sure he will be determined to make an impact."