It was the 1996/97 season, and, like this season, Palace had finished sixth - to the Blades' fourth - and he recalls:
"I dislocated my shoulder after 20 minutes, and Hopkin scored the winner for them with the last kick of the match, which was frustrating.
"I missed an hour of the game and I was in a lot of pain so I didn't realise the extent of it all until I watched it on the video the next day.
"When the camera panned onto the wives and kids amongst the supporters and they were actually crying, it did actually fetch a tear to your eye, because it made you realise how close we had come."
Despite that heartbreak, Don agrees with the knockout system and adds:
"I think the playoffs are tremendous idea, one of the best things in English football at the minute.
"It is tremendous for the fans and tremendous for the side, because it gives you a lot to play for.
"If you look at the way the table finished it could have been any four of 10 sides that made it.
"But if you are the team that loses in the final it is the worst feeling in the world."
Don's immediate priority is to force his way at least into the 16 for Cardiff after missing the two Ipswich games following starts against Watford, in which he scored two, and Wigan, and he says:
"I had a calf injury for the first one but I was fine for the second one; the gaffer decided not to put me as sub but I don't want to say that I had a calf strain when I didn't.
"I will be training like mad in the next 10 days and try and force my way into the starting line-up if I can, and, if the worst comes to the worst, try and get on the bench.
"It is the biggest game in the club's recent history and everyone will be desperate for a start - and I will be no different.
"I am wanting to finish the season on a high."
Don, whose season has been blighted by injury, intends to train right through the summer, and he adds:
"To be honest, I don't think any one of us knows where we are going to be at next season, and it all hinges on next Saturday.
"I think the gaffer has already said that he is going to have to change a lot of the staff, which obviously includes the players as well, so we are all fighting to try and win the game on Saturday so we can all stay at the club."
Don is considered more suitable for Premiership football and he explains:
"It is difficult; I have been down in this division with Sheffield United before, and I had a chat with the gaffer who said he was reluctant to play me in this league.
"He said he wanted to play his best athletes, so it is frustrating for me, because I am a ball player and I want us to get up so I can play.
"I think I have got more chance of playing if we go up; I have one more year left on my contract and I will be looking to do really well and play a lot of games.
"Hopefully I can have a good season in the Premiership and get another contract - I am happy here."
Don, who has made 10 starts and 14 substitute appearances this season, adds:
"It is a lot of games in the first division, more than 50, and we are not going to get a lot of rest this summer having got into the final.
"But it will all be worth it if we beat Palace.
"I think this sort of occasion means the big players rise and tend to do well, and that is why everyone will be training like mad to get into the side."
Saturday afternoon, though, will be spent watching the cup final, and Don admits:
"I will be cheering Millwall on; I have got nothing against Man U and I was hoping they were going to win the league as I would rather they won it.
"But I have a couple of friends at Millwall, including Danny Dichio obviously, so I hope they do well and win it.
"I spoke to him a couple of weeks before he got banned and he said he had had some bad times in football with West Brom and that and he said he could retire a happy man knowing he is going to play in a cup final with his two boys watching.
"Then obviously he got that taken away from him and I think he feels more hard done by that the ref didn't have the bottle to look at the video and possibly change his mind - that has doubled his frustration."