Holloway was appointed as the new Millwall manager on Monday, and took his first training session on Tuesday.
He said he is "honoured" to have been given the job and said he has "never felt more wanted" by a club's board.
"I'm delighted to be here," he told the club's website. "I was out of work and got a phone call from a fantastic friend of mine in Kenny Jackett. He recommended that I speak to Andy Ambler (Millwall's chief executive) and John Berylson (chairman). I asked him why, and he told me what kind of people they are.
"I met Andy on Thursday and John on Friday, and I was completely blown away for lots of reasons. Everything they want for the club completely mirrored how I feel. I've never felt so wanted in my whole life."
Millwall are fourth from bottom in the Championship and face a trip to Huddersfield on Saturday.
"I love the game - it's an art form - and you've got to believe in what you're trying to do," Holloway said.
"I want them (the players) to enjoy coming to work. When you're getting beat it's not fun, and I want to enjoy my life. That's what I've told them. It's all about enjoyment and encouragement. They looked a bit down after last weekend so let's see what we can do."
"It's a tough division but I look around that dressing room and there's some fantastic talent.
"Hopefully we can stop losing; that's the first thing. I'll try and galvanise them into a way of playing - a Millwall way of hard work and effort. Kenny did a fantastic job to get the lads up and we've had some changes which don't always work.
"It's a new group with lots of changes, but a fresh voice in me might help them a little bit. I want them to enjoy their football and start getting some results under their belts."