Millen has taken the reigns at Selhurst Park on a temporary basis after Ian Holloway parted company with Palace by mutual consent earlier in the week.
After just one win from their opening eight Barclays Premier League games, the Eagles sit 19th in the table and host league leaders Arsenal in the day's early kick-off.
Former Bristol City boss Millen is relishing the prospect of facing Arsene Wenger's side and has challenged the squad to lay down a marker for the new manager - whoever that may be.
"It really is a challenge," he said.
"It is the fixture we looked at when it came out at the start of the season. It is the reason we worked so hard last year to get promoted.
"That Wembley day seems a long way off now, how quickly things can change. But I just want the lads to enjoy the occasion, they are not doing it for me as I have told them I'm not looking for the job.
"A new manager will be coming in and it is down to them to start impressing the new manager, whoever that may be, and I think that starts on Saturday."
Following a 4-1 home defeat to Fulham on Monday night, Palace will not be expected to cause an upset against Arsenal but Millen insists the Eagles will do their homework as they look to produce a shock result.
"I think it is a great game," he said.
"No-one expects us to get anything from the game. Monday was a different scenario, that was a must win game for us and obviously we didn't do that.
"Arsenal have had a tough week, they had their European game and have a cup game during the week after they have played us.
"We have got to make Selhurst a tough place to come for Arsenal - try not to show too many of their positives.
"We work on how we can stop Arsenal but also how we can hurt them hopefully. We spoke to some players and did some work on the training field, we will do some video work tomorrow and then it is down to me to pick the right team.
"I will make sure the players are prepared and organised and they will be going out to play against the team that are top of the league.
"We have got to start somewhere and there are plenty of points to play for."
Millen echoed Holloway's sentiments about the squad having to gel together over the coming weeks but it remains to be seen if he will entrust the new signings or revert back to the bulk of the players who guided Palace to play-off success last season.