Young Lions in FA Youth Cup action at The Den tonight
Connolly, along with Larry McAvoy, have been working hard with the squad and are determined to make sure that they are not on the end of a Cup giant-killing act by their non-League opponents.
"I went to watch Dover against Camberley Town and Larry has been to see them in action recently too," David told millwallfc.co.uk
"They are a very good team who play 4-3-3 and are particularly strong at set-pieces. This is going to be a really tough game for us.
"It is also, however, going to be a brilliant occasion for the boys. This is the first time that some of them will have played at The Den, and at The Den under floodlights, which is always a bit special.
"It's up to Larry and me to make them as relaxed as possible, but also to have a bit of an edge about their play.
"It is only 11 years ago that the first team got to the FA Cup Final and beat a couple of lower league teams along the way. We want this to be the start of a really exciting journey, but we know it is going to be a tough challenge.
"If we get past Dover tonight there is a really big reward the other side of this game with either Woodbridge Town or Dagenham & Redbridge at home in the Second Round.
"But we are taking nothing for granted and just want to make sure that the boys put into practice this evening everything that they have been working so hard on because they have trained so well for this game.
"It's important that we remain patient because in some respects, Dover have nothing to lose. We have had games recently like at Hull, where we were 2-0 up inside five minutes and came flying out of the traps. Then there were matches against Birmingham and Huddersfield where we really dug in and produced 1-0 victories.
"What we need to remember is that we have 90 minutes to win the game against Dover, or 90 minutes plus penalties if necessary. We just need to make sure that we get the job done."
Tickets for the Dover game are on general sale at the Millwall Ticket Office up until kick-off at 7pm tonight. Tickets are priced at £5 adults and £1 U16s are are for the Executive Area only.