Claude Lemieux is back on track.
"I've been criticized for not being emotional enough," said Lemieux, who raised both fists in the air after his first-period goal. "Tonight I went to the net hard and showed some emotion. I'm trying to be real excited after every goal."
Roy is 415-243-96 in his NHL career at Montreal and Colorado.
The Avalanche improved to 2-0 in their new Pepsi Center.
"Claude is a competitor and has so much experience that he knows how to make plays," Colorado coach Bob Hartley said. "He made the play on Yelle's goal and had a real good night."
Shaun Van Allen scored his first goal of the season for the Senators, who are 1-11-1 in road games played against the Avalanche franchise.
The Senators played without forwards Magnus Arvedson (thigh contusion) and Bruce Gardiner (left knee sprain), both injured in last Thursday's loss at Phoenix.
"We had plenty of chances and didn't do anything with them," said Ottawa coach Jacques Martin. "The way you beat Patrick Roy is with deflections and second chances, and that's how we got our only goal."
Outshot 10-8, Colorado led 1-0 after one period on Lemieux's goal after the Avalanche killed his roughing minor. Lemieux, who had just left the penalty box, took a pass from Sakic in neutral ice, circled around the net and beat Patrick Lalime with a backhander at 11:56.
Yelle and Lemieux worked a give-and-go at 19:23 to give the Avalanche a 2-0 lead. Yelle poked the return pass between Lalime's pads for his first goal of the season.
"I saw two guys crashing at the net and had a chance of putting it on net," Lemieux said. "I really threw it at the net and Yelle was there."
Ottawa failed to convert on three power plays in the period and its two best chances midway through the period by Rob Zamuner and Jason York. Roy got enough of a glove on Zamuner's deflected shot from just outside the crease and steered aside York's low drive from the left point.
Sakic extended the Colorado lead to 3-0 at 8:53 of the third period. Van Allen sent a deflection past Roy at 9:48 to spoil his shutout bid.
"Hockey is a game of breaks and lucky bounces," Lalime said. "They didn't have many scoring chances, but I let two go between my legs."
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