Barry Nicholson took the first corner of the game and Richard Chaplow hit a first-time 25-yard shot straight at Blades keeper Paddy Kenny.
Chris Sedgwick sent in the ball to John Parkin and he had a shot saved by Kenny.
In the 28th minute, Stephen Quinn had a 25-yard shot which did not have the power to beat Preston keeper Andy Lonergan.
Gary Naysmith sent the ball over to Darius Henderson and he had a header saved by the Preston keeper.
Preston captain Paul McKenna was fouled by Brian Howard and McKenna took the direct free-kick which fell to Barry Nicholson and his shot was saved.
Two minutes before the break, Howard had a stinging shot saved at the second attempt by Lonergan and in added first-half time Chaplow had a shot saved by Kenny.
Seven minutes into the second half, the Preston keeper had to palm away a corner for another corner and the out-swinging left-foot corner by Quinn led to Leigh Bromby having a shot saved.
Quinn had a right-wing corner which came straight back to him and he had a shot saved.
Gary Naysmith had a cross that was saved and then Preston substitute Daren Carter had a left-foot corner from the right wing saved by Kenny.
United thought they had scored in the 76th minute when Quinn had a low shot from the edge of the area deflected off a stray foot and in off the post, but the goal was ruled offside.
In added time, Henderson flicked-on Bromby's long throw but man-of-the-match Lonergan saved.