A review of Saturday's action in the fifth round of the FA Cup.
The Gunners dominated the contest against the npower Championship club and had several chances to score, but saw their way through to goal blocked by a stunning performance by Rovers goalkeeper Jake Kean.
Tomas Rosicky also hit the crossbar for the Barclays Premier League side after 67 minutes.
Colin Kazim-Richards grabbed what proved to be the winner just five minutes later, smashing in the rebound after Wojciech Szczesny had saved Martin Olsson's initial strike.
The 6ft 6in striker substitute, who scored twice in the previous round to see off Liverpool, was at it again with a towering header deep in stoppage time.
Jordan Obita gave the League One strugglers the lead but the Premier League side struck back with goals from Victor Anichebe and Phil Jagielka before Smith's late intervention.
Henry gave the Lions the lead in the 12th minute when he made the most of poor Luton defending to run through on goal and round keeper Mark Tyler before slotting into an empty net.
That lead was doubled nine minutes before the break when Hulse acrobatically shinned a volley over Tyler from a tight angle after good work by Henry down the right.
N'Guessan sealed Millwall's passage into the last eight late on when he swept home after Tyler had saved an effort from John Marquis.
Chris Dagnall opened the scoring for the visitors after just three minutes before Marlon Harewood doubled the lead in the 20th minute.
MK Dons fought back in the second half with a goal from Dean Bowditch but Dagnall's second in stoppage time put the tie to bed. Alan Smith's late dismissal rounded off a miserable afternoon for the home side.