Millions following auction in state capital (5)
I believe the answer is:
salem
'state capital' is the definition.
(state capital of Oregon)
'millions following auction' is the wordplay.
'millions' becomes 'm' (abbreviation).
'following' means one lot of letters go next to another.
'auction' becomes 'sale' (I've seen this before).
'm' put after 'sale' is 'SALEM'.
'in' acts as a link.
(Other definitions for salem that I've seen before include "Witch trial site (Mass.)" , "Location of US witch trials" , "Massachusetts city, scene of witch hunt" , "state capital" , "Source of witch-hunt" .)