More than most, Millwall boss Mark McGhee relished the chance to lock horns with old pal Gordon Strachan, but in truth his side were lucky to have a second chance after their poor display at the Abbey Stadium.
Once again Cambridge coped with the injury-hit Londoners, and only in the last five minutes of the first half did this tie suggest that there was a £250,000 golden pot up for grabs.
U's keeper Shaun Marshall tipped away Steve Claridge's header, while at the other end Shane Tudor drove wide on the break.
Marshall stood up well as Steven Reid broke into the area, but it was after the break that the game came to life, as five goals in 19 minutes set the New Den alight.
Reid's driven cross struck an upright as did Kevin Braniff's follow up after his first shot had been saved by Marshall. Having missed clear-cut openings Millwall were made to pay as Dave Kitson headed home after hooking a shot against the bar.
United's lead was short-lived however as Stevland Angus upended Claridge two minutes later and the former U's striker drove home from the spot.
Back came John Taylor's side and Tom Youngs restored their lead, coolly finishing off Kitson's cross.
But once again the Lions bounced back and Claridge was denied by Marshall's legs before the increasingly busy keeper did well to beat out Reid's volley.
However, he had little chance when Paul Robinson powered home Peter Sweeney's corner and the visiting defence then allowed Paul Ifill a free header that gave Milwall the lead for the first time.
The Lions had openings to add to their lead as Cambridge pushed for a late equaliser, but despite their best efforts it was McGhee's men that lived to fight another day, making sure of a valuable pay day.