Yakubu scored two, while Arsenal duo Alex Song and Laurent Koscielny scored one own goal each to secure a 4-3 win to Rovers.
Yakubu told Sky Sports: “It’s unbelievable. We fight as a team, we play as a team, and it’s good to score goals to build our confidence which is great.
“Whenever we play against Arsenal there’s always pressure. They always fight to the end and we had to play incredible today. I think we deserved to win.
“There’s always pressure when you’re bottom of the league from the fans and people around but we keep working hard in training so we can get the three points. It is a great feeling and it was a great atmosphere.
“As a team we have to stick together. The manager, we have to give him the credit for what he’s done for the club and come to the pitch and perform which is what we’ve done today.”