Last-gasp Cole penalty secures exellent win
The hosts made a positive start and created the better of the first half chances with Ciara Sherwood, Cherelle Albert and Lily Agg all trying their luck in the opening minutes.
Davey was on hand again to prevent the home side three minutes later, this time denying Albert from close range.
The best chance of the opening 45 minutes fell Watford's way on the stroke of half-time. Lionesses' keeper Sarah Quantrill denied an effort from Kim Farrow, Cole lunged bravely to block Magda Mosengo's follow-up and Jo Wilson fired the loose ball wide with an open goal in front of her.
The Lionesses continued to put Watford under pressure after the interval and Lily Agg sent a free-kick just wide in the 47th minute before
Cole's header from an Albert corner was cleared off the line on the hour mark.
However a rash challenge by Chloe Gunn, who bundled over Agg in the penalty area in the 90th minute, proved so costly for the visitors.
Agg and Frankie Strugnell both tried their luck from long range but it looked to be a night of frustration for the home side as Watford's defence stood firm as the match entered the last few seconds of normal time. Cole kept her cool and under immense pressure stepped up to the spot and fired the resulting penalty - her third goal of the season - into the top right corner to secure a
Millwall:Quantrill; Cowan, Cole, Davies, Strugnell; Sherwood, Agg, Maple (Ali 73), Albert; Elliott (Lamb 56), Stenning. Subs not used: Ivison, Wheeler, Fisk, Mackie.
Watford Ladies: Davey; Mays (Hill, 79mins), Robe, Hector, Wride; Green, Gunn, Wynne; Wilson, Farrow, Mosengo (Donnelly, 75mins). Subs not used: Butterwick, Deacon, Burgess, Hill.