Bournemouth had led 2 - 1 in injury time before Blackburn levelled. Then it was advantage Blackburn in extra time before Bournemouth scored to take the game to penalties.
Bournemouth came through the shoot out 7 - 6.
Mark Hughes, who won the League Cup with Blackburn, has been dumped out after his first game managing in the competition.
Round 3 will be played w/c 25th October
The full draw is
Portsmouth v Leeds
Chelsea v West Ham
Middlesbrough v Coventry
Doncaster v Nottingham Forest
Newcastle v Norwich
Millwall v Liverpool
Burnley v Aston Villa
Southampton v Colchester
Sheff Utd v Watford
Everton v Leicester/Preston
Charlton v Crystal Palace
Bolton v Tottenham
Bournemouth v Cardiff
Man City v Arsenal
Birmingham v Fulham
Crewe v Man Utd