The Saints are up against the Norwegian side in the first leg of their second round of Europa League qualifying and Millar wants the Scottish side to at least improve on their 3-1 aggregate loss to Turkish club Eskisehirspor at the same stage of the competition last season.
"When we went to Turkey we gave them too much respect and we sat in too much,” he said.
"Obviously you have got to respect they are a very good side and they'll be looking to score.
"But there will be chances to catch them on the counter-attack.
"I think we have got to strike the balance between not being over-cautious but not being over-cavalier and leaving ourselves exposed."