The 50-year-old, who signed a two-and-a-half year deal with the Championship strugglers, replaced former Steve Lomas who was sacked after winning just five out of 22 games.
Millwall are currently only one point above the second-tier Championship relegation zone and crashed out of the FA Cup with a 4-1 defeat by fourth-tier Southend on Saturday.
Holloway said: "I can make some changes if I deem fit but I have to give the lads a chance to play for me.
"The minimum I ask is that they give the maximum of their effort. I don't want any wind left in their lungs by the end of the game. If you can breathe correctly without blowing then you have let me down.
"We have a lot of senior pros and I want to see how they respond to me before I do anything rash and harsh.
"Hopefully I will be a good fit for Millwall and help them stay up this season and then we will try and push towards the top of the table next year.
"But it's a tough ask and I'm in it for the long haul. I have guaranteed that even if it goes wrong I will stay."
The former Crystal Palace manager also said he was blown away to be offered the job at the Den by chairman John Berylson.
"I was blown away when I met the chairman, I always knew it was a passionate club. I have never been so blown away in all my life, I was impressed that I was Plan A, Plan B and Plan C," he added.