Wigan Athletic chief: Lion-tamer Pilkington's class!
Pilkington's 57th-minute cross-shot was helped over the line by Millwall midfielder Shaun Hutchinson to give Latics a vital victory.
The former Cardiff and Norwich had moments earlier seen a goalbound shot deflected inches wide of the far post, and was excellent until his late substitution.
Cook says the late change was purely to protect Pilkington from injury, and says the 31-year-old has a key role to play in the 12 matches that will make or break the campaign.
"I've just said to Pilks that the reason he comes off after 75 minutes is just to protect him," Cook said.
"We've lost Kieran Dowell for looks like the rest of the season, which is a massive blow.
"And we're going to need Pilks fit for as many games as we can, you need your key players on the field as much as possible.
"Anthony's always had talent, it's unquestioned, he's played at the highest level for a number of years.
"We've got to try and keep him fit for as many games as we can, especially at home.
"Because I certainly feel he has the ability to win games for us, which is what we desperately need."
Cook watched the game from the gantry due to a touchline ban, but was able to enjoy a perfect 53rd birthday present.
"It's just about keeping going, I say the same thing every week," the Latics boss added.
"We sat here a fortnight ago after the Preston game and we were all a little bit disappointed because we never played as well as we could.
"But today I thought in general we were good, against a very strong side who were on a fantastic run of results.
"We defended well, we knew we'd get put under pressure in the last 10 minutes if we were in front.
"We didn't have an extra centre-back on the bench to bring on, the lads had to stand up for themselves and I'm delighted with how they did that."