The Senegal international, on a season-long loan from Manchester United, headed in after Chris Samba flicked on Morten Gamst Pedersen's long throw.
Blackburn keeper Mark Bunn saved well from Simeon Jackson and Grant Holt before Diouf, 22, tapped in his second.
Diouf nodded in a third before Jens Berthel Askou headed a consolation.