The first extrasolar planets were discovered serendipitously, by finding the slight variation in otherwise highly regular timing of the pulses, caused by the planets orbiting a millisecond pulsar. In analogy with the solar system planets, we predict the existence of aurora on planets around millisecond pulsars. We perform the first magnetohydrodynamic simulations of magnetospheric pulsar-planet interaction and estimate the radio emission from such systems. We find that the radio emission from aurora on pulsar planets could be observable with the current instruments. We provide parameters for such a detection, which would be the first radio detection of an extrasolar planet. In addition to probing the atmosphere of planets in such extreme conditions, of great interest is also the prospect of the first direct probe into the pulsar wind.