Millwall retaliated in the 12th minute when Billy Turley raced out of this goal to deny Ben May.
Darby looked certain to score for the home side in the 27th minute but a brilliant block by Stuart Nethercott denied the striker. The Rushden skipper then created a good chance for Scott Partridge but the striker shot across the face of goal.
In the 40th minute Partridge lost possession in midfield and Dave Livermore took advantage and ran on to shoot just inches wide.
In the second half Rushden continued to look dangerous and a fine move between Hall and Partridge ended with Darby seeing his shot saved by Tony Warner and a minute later Warner was in the thick of the action again making a fine save to deny Hall.
In the 63rd minute Rushden were desperately unlucky not to take the lead when Darby intercepted a backpass and rounded Warner but his shot from an acute angle hit the post and rebounded to safety.
The match went into extra time and it was probably Millwall who looked more like scoring and Turley made several brilliant saves to den the visitors.
The match went into penalties and it was the unfortunate Charlie Hearn who missed a vital first spot-kick for Millwall and Rushden scored all five of their kicks with skipper Paul Underwood sealing the result with the last kick