In a medium pan over medium heat, toast the millet, stirring frequently, until fragrant and turning golden. In the same pan, repeat the process with the walnuts and set aside.
Chop off and discard the stem end of the brussels sprouts and any discolored outer leaves. Thinly slice them in horizontal layers.
Place the millet and the brussels sprouts in a saucepan with boiling water and add a large pinch of salt. Lower the heat, cover the pot and simmer until the millet and vegetables are just cooked through, about 20 minutes.
In the meantime add olive oil to the previously used pan for toasting over medium heat for 2 minutes. Add the sliced aubergine, balsamic vinegar and salt and let cook for about 10 minutes until golden and soft, stirring frequently. Set aside.
Remove the millet pot from the heat, mix gently with a fork and let it sit, covered, for 10 minutes.
In a big salad bowl toss the millet with sprouts and glazed aubergine.
In a small bowl, whisk the vinaigrette ingredients together until well mixed. Pour the dressing over the salad and mix well.
Add the toasted walnuts to the salad and toss.
Serve immediately or, if you have time, let the salad marinate for ten minutes beforehand.