Warne was reduced to tears when his first game at the helm last week ended in defeat, but the Millers' drought, going back to August, was ended with a thoroughly deserved 1-0 win over QPR.
Izzy Brown gave the division's bottom club just their second win of a horrible campaign when he converted after a superb one-two with Danny Ward.
They still remain a long way off safety, but Warne has at least stopped the rot and gave the fans reason to cheer.
"It's a better feeling, winning," he said. "For them to win gives me great pride, they left nothing on there, they should be proud of themselves.
"They are buzzing like we have won a cup final. I want good, proper, football players and they are a group of lads that have got a bit closer and I think that was shown in the performance.
"I think you could see at the final whistle how much it meant to everyone.
"It would have helped my heart rate no end if we would have got a second but it was nice to get the win. To win the game is great, I am sitting next to the chairman at the chairman's ball tonight so that makes my life a little bit easier."
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