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Henrik Lundqvist makes a save on Sidney Crosby in Thursday's 3-0 Rangers win. ((Frank Franklin II/Associated Press) )

Hinting that the next loss might be the last of his storied career, New York Rangers captain Jaromir Jagr stared elimination and retirement in the face — and won.

Jagr had two goals and one assist and Henrik Lundqvist made 29 saves as the Rangers blanked the Pittsburgh Penguins 3-0 in Game 4 of their Eastern Conference semifinal at Madison Square Garden on Thursday night.

"It was great," Jagr said. "But we have to make sure we play a little longer, enjoy the moment.

"It is too bad that we got into a tough situation. Maybe it is happening for a reason that we're down 3-0, you never know."

"He is a driven man right now," Rangers head coach Tom Renney said of Jagr, a former Hart Trophy winner and five-time scoring champion. 

It was a bravado performance for Jagr and the first shutout of the playoffs for Lundqvist, who foiled Evgeni Malkin on a second-period shot.

"After last game, Jags came in the room and said, 'You gotta believe,'" Rangers rookie defenceman Marc Staal said. "Everyone in the room bought into it and we played really well tonight.

"He didn't want to go out losing at home. It was a big win for all of us."

"We have to believe," Jagr explained. "That is where you start everything.

"If you don't believe, you don't have a chance. You have to believe that anything is possible, then you have to put the pieces together."

Rookie Brandon Dubinsky contributed one goal and one assist as the fifth-ranked Rangers shaved their deficit to 3-1 in the best-of-seven series.

Game 5 goes Sunday at Mellon Arena (CBC, 2 p.m. ET).

"We live to play another day and we intend to win," Renney said.

Only two teams in NHL history have rallied to win a series they trailed 3-0 — the Toronto Maple Leafs in 1942 and New York Islanders in 1975.

"Hopefully, we have them thinking," Lundqvist said. "We think we can do it.

"We're going to go for it in Pittsburgh. There is no other way for us."

Rangers riddled with injuries

Rangers forward Sean Avery remained in intensive care at New York's St. Vincent's Medical Center with a lacerated spleen suffered in the first period of Game 3.

"He won't be removed from there until it stops bleeding, and it hasn't," Rangers spokesman John Rosasco said. "He was never in a life-threatening situation."

Defenceman Blair Betts was scratched from New York's lineup because of a broken orbital bone sustained when he blocked a shot in the second period of Game 3.

Forward Chris Drury shook off the discomfort of a torso injury — one that prevented him from raising his arms in the latter stages of Tuesday's setback — and skated a regular shift for the Rangers.

Drury earned an assist on Jagr's empty-net goal with 14 seconds remaining.

Marc-Andre Fleury faced 33 shots for the previously unbeaten Penguins, who swept the Ottawa Senators 4-0 in the opening round and, of course, the first three games of this series.

Pittsburgh's seven straight playoff victories fell short of the franchise record set in 1992, when the Penguins won their final 11 games en route to a second straight Stanley Cup.

"We have to learn from our mistakes and we have to be strong in our building," Penguins forward Marian Hossa said.

Pittsburgh outshot New York 8-6 in a scoreless, at times listless, first period.

Hossa had two of the better scoring chances, but he blasted a slapshot wide of the far post on a partial breakaway and later failed to score on a wraparound.

Martin Straka had two decent chances from the slot for the Rangers, whiffing on one and shooting wide on the other.

Jagr given jolt on goal

New York took a 1-0 lead on a slick solo rush from Jagr, who sped up the wing and fired a low shot between the legs of both Sergei Gonchar and Fleury for his fourth goal of the playoffs 12:45 into the second period.

Jagr paid the price, though, as Penguins defenceman Brooks Orpik levelled him with a thunderous check as he unleashed the shot.

"It was one-on-two so I could take a chance coming across," Orpik told CBC Sports. "Hopefully, it wasn't too late."

Jagr lay prone on the ice as the rest of the skaters jostled in the corner, but he rose to his feet and refused to miss a shift.

"He has been awesome for us in the playoffs," Staal said.

After Lundqvist preserved the margin with a right pad save on Ryan Malone's short-handed breakaway, Crosby sprung Malkin on a breakaway, but he was shoved by a stickless Daniel Girardi and awarded a penalty shot.

It was a puzzling penalty shot, to say the least.

Malkin stickhandled so slowly toward the net that he nearly came to a full stop and, with no room to shoot, took a weak shot that Lundqvist gloved with ease.

"I think he was just trying to wait him out and back him in," Orpik said.

"He was being really aggressive, really getting out there," Dubinsky said of Lundqvist. "He was special, that's for sure."

The Rangers increased their lead with a power-play goal 44 seconds into the third period when Straka sent the puck out front to Dubinsky, who, using his body to shield the puck from Penguins defenceman Rob Scuderi, spun and scored his fourth.

"It was nice [because] we have been struggling on the power play," Dubinsky said. "We knew if we were going to give ourselves a chance to get back in the series and win a hockey game, we had to do that."

Pittsburgh nearly replied off the ensuing faceoff as Malone backhanded a blind pass into the slot for Petr Sykora, who flicked the puck off the crossbar, and Jordan Staal whisked the rebound through the crease.

With files from the Associated Press