NEW YORK -- Tomas Vokoun and the rest of the Penguins have Madison Square Garden figured out. Now they just have to find their comfort zone back home in Pittsburgh.

Vokoun stopped 28 shots for his 49th NHL shutout, and the Penguins scored on the first shot of the first and third periods in a 3-0 victory over the New York Rangers on Thursday night.

The Penguins are 0-2 in Pittsburgh but 4-1 on the road -- including a 2-0 mark at Madison Square Garden, with the veteran Vokoun backstopping both victories in his first season with the team.

"We knew we were going to get a guy who can come in and win big games for us, and he's done that twice in this building," Penguins coach Dan Bylsma said of the 36-year-old Vokoun. "He had two or three big saves that he had to make. He was great."

Two or three was basically the extent of the offensive pressure generated by the Rangers, whose best scoring chances were a pair of drives that struck posts in the third period.

Vokoun played with the lead all night. Evgeni Malkin made it 1-0 just 1:24 in, James Neal added a power-play goal 28 seconds into the third period -- after another costly too many men on the ice penalty for the Rangers -- and Simon Despres netted his second NHL goal to give Pittsburgh (4-3) its second win in five games.

Malkin added an assist, as did captain Sidney Crosby, on Neal's goal. Despres, a young defenseman, came out of the penalty box to score at 10:23 of the third right after Rangers defenseman Anton Stralman hit the post at the other end.

"I was imagining it in the penalty box," Despres said with a smile, regarding the pass from Pascal Dupuis that sent him in on a breakaway. "It's the first time in my career. I have been imagining it all my life."

Pittsburgh has only one fewer win in New York this season than the host Rangers, who had won three of four overall.

Vokoun was steady throughout in earning his 289th NHL victory, but wasn't challenged much by the Rangers (3-4), who have scored two goals or fewer in four games.

Even he acknowledged he had a less taxing night than Rangers counterpart Henrik Lundqvist.

"All the shots were coming straight at me, so it makes it a lot easier," Vokoun said. "Certainly my game was a lot easier than his."

New York struggled in its first game without captain Ryan Callahan, expected to be sidelined 10-14 days by a shoulder injury sustained Tuesday in a win against Philadelphia.

"It was probably the worst we've played all year, collectively," Rangers coach John Tortorella said.

Vokoun, who relieved goalie Marc-Andre Fleury in Pittsburgh's 4-1 loss to the New York Islanders on Tuesday, got another start against the Rangers. Vokoun (2-1) has split time with Fleury, playing in four games.

The Penguins jumped on the Rangers early, just as they did in New York's home opener on Jan. 20 when Pittsburgh chased Lundqvist from the net.

Malkin fired a drive from the lower portion of the right circle that got through a screen and beat the surprised Lundqvist at 1:24. Pittsburgh scored just 1:48 into the previous matchup -- the first of three first-period goals en route to a 6-3 victory.

Lundqvist, who has played in every game this season, made 26 saves.

"I thought it was a terrible game," Lundqvist said. "Early on you're looking for a good start and good things to happen so you can build from that, but obviously that didn't happen.

"It was still a 1-0 game until the third so we definitely had our chances to come back. We just had a tough time trying to get things going."

Play was disjointed in the second period and filled with numerous offsides and icing calls along with a variety of penalties on each side. The Rangers were whistled for four penalties, including the too many men call that carried over into the third.

Tortorella fumed Tuesday after Carl Hagelin jumped onto the ice early, a penalty that led directly to Philadelphia's only goal in the Rangers' 2-1 win. The coach was no happier after this one.

"Not paying attention," Tortorella said.

It marked the third straight game in which the Rangers gave up a goal after a penalty for too many men.

"It's something that needs to stop, obviously," defenseman Marc Staal said.

The call came right after the Rangers managed to keep their deficit at one goal when Lundqvist deflected away a drive by Crosby on a breakaway with 50 seconds left in the middle period.

"It was a sloppy, sloppy game," Rangers forward Brad Richards said. "I can't imagine anybody said either team played that well. They scored and that was the difference.

"We couldn't make passes, couldn't make plays. It was just a mess. We didn't make it too tough on their goalie. That's why he gets a shutout."