Blake is tasting the Premier League for the third time but enjoyed contrasting experiences in his previous spells at Bradford and Birmingham City.
But he will have had few better moments than his 19th minute strike which proved to be the only goal of the game.
Blake took centre stage at both ends of the pitch during the first half.
At one end he demonstrated his ability to strike a ball when he put the Clarets in front after Patrice Evra partially headed clear a Stephen Jordan cross.
At the other end, Blake conceded a penalty just prior to the interval when he brought down Evra as the full-back tried to get on the end of a Michael Owen pass.
Michael Carrick took responsibility with the spot-kick but goalkeeper Brian Jensen was equal to the task as he dived to his right to parry the penalty.
Blake went close with a free-kick from the edge of the box but the second half was generally dominated by United as Sir Alex Ferguson's team enjoyed plenty of possession as they sought an equaliser.
However, the visitors found Jensen in fine form as the giant keeper produced two outstanding saves within two minutes to keep the home side in front.
On 68 minutes, the big Dane got down to his left to deny Ji-Sung Park but then made an even better save to prevent Ryan Giggs from scoring after the United skipper had played a one-two with Wayne Rooney.
Rooney's frustration mounted as United became frantic in their search for a goal against the Premier League newcomers, with the England striker's frustration boiling over when he received a yellow card for a foul on right-back Tyrone Mears.
The win gave Coyle's side their first points in the Premier League following their return to the big time and the result will at least ensure that visiting teams give the little-fancied Clarets a modicum of respect.